There isn't really any way to define a "proper" plural for a colloquial term for a mythical creature.
English plural formation, although mostly regular, permits an indefinite amount of irregularity for any particular word. Consider the case of people, which is, at least from an etymological standpoint, a suppletive plural form of person that is not related at all (from a synchronic standpoint, I suppose the initial "p" that these words have in common could be considered a shared element, although it's not clear what type of element it would be).
From what I understand, a hypothesis has been proposed that plurals or other inflected forms have to be formed regularly if they are compounds and the last element is not the semantic head, but there isn't clear evidence that this hypothesis is true and there are a fair amount of counterexamples. To me, it seems more like an argument based on the logic of how it seems pluralization should work than an actual established fact about how pluralization does work. See the following Language Log posts by Mark Liberman:
In a whimsical context, someone might even use an "improper" form deliberately: does that mean it should be considered "proper" in a way after all? It just seems like a matter of opinion to me. (E.g. consider the relatively common fanciful forms "meese" and "mongeese", or the form "mie" in the couplet "A cube of cheese no larger than a die, may bait the trap to catch a nibbling mie" (Ambrose Bierce, attributed to "that eminent poet and domestic economist, Senator Depew".)