On Barsoom, what pass for fey are a subset of a much larger group of entities referred to as "spirits". Spirits are sentiences brought out of the infinite possibilities of the Dream Worlds and bound in some fashion to remain on the Living World. Some spirits are bound to objects (thus djinnis) while others are controlled through the use of their true name (ergo, demons) and occassionally they can be bound to an oath.
Long ago a sorcerer named Tushan Kal Kabbar drew forth an array of powerful spirits and bound them to the Oath of MacKebar. The exact terms of that Oath are not well-known, but the spirits, who refer to themselves as the Tarn, have dwelt in the land of Shaer ever since. They are tricky, untrustworthy folk who keep the details of their Oath secret so that no one can exploit them.
By and large they seem sort of typical "faerie", but nobody who encounters them considers them "prancy". They don't prance. They cackle from time to time, but they don't prance.
I find players can get truly disturbed when they encounter creatures whose morality is incomprehensible, whose priorities are so different from their own as to be alien. The Tarn don't reproduce, don't eat and never die. They are in no way human and their priorities and behaviour reflect this. They freak the heck out of my players.
Fey are unpredictable and unpredictable is dangerous.