Your last phrase, "perhaps he's not the only one that's losing their grip," contains a common grammatical error. "One" is a singular subject, and therefore cannot be paired with a plural possessive pronoun, "their."
That type of phrase was always used with a singular pronoun, usually in the masculine form, i.e.- (Teacher instructing class) Everyone take out his book!
But a few decades ago, feminists began pushing for more politically correct language, and so people would use two singular pronouns, one in the masculine and in the feminine, i.e.- Everyone take out his or her book!
Shortly thereafter, people either got lazy or didn't know the rules, and so the two singular pronouns were combined to make one plural pronoun, i.e.- Everyone take out their book! (And yes, "everyone" is a singular pronoun)
That being said, I'm sorry if this correction seems a bit "in your face." I'm only doing this to help you, and hearing about this rule just once usually keeps one on the lookout for a long, long time.
Please keep up the writing! Your story has a very mature tone; something I don't see very often in FF:CC fanfics. Was this meant to be a one-shot? I'd like to read more of this psychological anecdote!

I really liked this! The world could use more Gurdy love.

I liked how well you wove Gurdy's quirks into the story before the conversation about Tida. It made his strange forgetfulness (to the caravanner) all the more chilling.

Hmm, the thing I felt was missing was a bit more evidence of the Selkie feeling like she's loosing her mind too. Like, how it affects her, and why does she really feel that way.
Otherwise, I enjoyed this story. It's well written, and I liked your characterisation of Gurdy a lot; his personality is subtle and the little details do make him seem mysterious. You showed it, not just told the readers about it. :)