Marilyn is Grace Whitney's pet axolotl.
Although it's arguable how much Marilyn cares about Grace, Grace clearly cares about her pet axolotl. Grace is seen feeding Marilyn on the show multiple times. Grace can sometimes seem heartless and sinister, but whenever she is seen with Marilyn, it is sensed that Grace genuinly cares about Marilyn. It also appears that whenever Grace feed Marilyn, she releases all of the tension and stress that has been tying her down, and she actually seems to be relaxed and calm.