I don't know about magic resistance, but they have enough HP and defence that Nanaly is practically worthless against them (My AW39 Nanaly with Spica's buff can't burst kill a single one with her quad-shot). I have to use Princess Lilia, Dahlia, Chloe, or—even better—Master Assassin Betty and her assassination skill to deal with them (she has a 15% chance of instantly killing them per hit +1.5% for being a master assassin).
EDIT:
Just watched a video of the map you're referring to, and it only had ~2 of the enemy units I was talking about. If you're having problems with the merfolk cruising along in the water, Taian has a silver unit strategy that works against them:
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