This story is not a novel, nor a short story. Probably novella-size, or longish novelette. I read it at least 30 years ago, maybe more. And I don't remember if I read it in English or in French, but anyway it might have been a translation.
Also it might be told by the POV character, or be read from a journal he wrote, I am not sure. At the beginning, the POV character went to stay in a castle. Whether he went to woo its Lady, or whether they were already engaged, or already married, I am not sure. I am almost sure they were married before the end of the story, but I am not positive.
A detail I do remember: all the servants, in the castle, were Finns and spoke only Finnish, which the POV character did not speak.
The Lady of the castle always wore very heavy dresses or skirts. She was very elegant, though sometimes it seemed that her dress or skirt did not fall properly.
Little by little the POV character realises something is amiss. To make a long story short, towards the end of the story
she is balancing from beam to beam under the roof of the great room of the castle, using her long, muscular tail.
The POV character commits suicide, I believe after killing her, but again I am not 100% positive.
IIRC, a physician, friend of the POV character, happens to come at that point and discovers the situation. Just possibly, he is the one to kill her, in the case where the POV character had not killed her before.
He then removes the tail of the corpse, leaving a body with a very strange incision at the bottom of the back, but not recognisable as the removing of the tail,
which he burns beyond recognition.