Mermaid, Dullahan and Rougarou (Werewolf)... So far, the youkais in this Touhou are from the western folklore. Time to start your speculation.
Sekibanki is actually a rokurokubi, a Japanese female ghost with an extendable neck, but she detaches her head instead of extending it. Also, someone at Pooshlmer claims that the word "Dullahan" appears in her theme's title as well.
EDIT: The profile does say she's a rokurokubi, so why down vote me?