Is that picture from a pattern or a commerically made blanket? It could be cut from ribbed fabric and the edge sewn if it's not hand-made.
The mermaid blanket I made had the tail made side to side and then sewn on to the blanket, so the curves were made using simple bind-offs/decreases.
If you look at this one as though you were working from the top of the tail to the bottom, it'd be a simple matter of joining another ball of yarn and working decreases to create the curve. Kind of like working two shoulder fronts on a sweater.