Couple of different issues here really.
One, there's the story of the Little Mermaid which reflects and reinforces gender stereotypes, so in any form (unless seriously reworked like some fairy tales have been,) is unlikely to convey feminist messages.
Two, there's the decision to set the story in a brothel, providing the opportunity for the production to stylise performers in an overtly sexualised way and generally capitalise on the "taboo" of "sexing up" what's supposed to be a children's story. The aim there is to court controversy and no doubt they hope, generate more sales at the box office.
So, both the fairy tale it's based on and this particular production are misogynist, but for different reasons.
I do see the connection between the Mermaid "selling herself" for the sake of a man and a prostitute literally selling herself, but I can't see that either the fairy tale or this interpretation add anything positive to discussions about gender stereotypes, sexual equality, exploitation of women, etc.