“The Maiden Thief,” by Melissa Marr.
I’ve lost track of where this particular recommendation came from, but I think I was looking specifically for some stories edited by Ellen Datlow. 🙂
Content warning in the comments.
NOTE: Whoops! I’d missed that this story was published in January 2016. So, those of you looking specifically for Hugo-eligible 2015 material – this ain’t it. Still a good story, though 🙂
Read the story: