Hisorical Paranormal Romance?

They're usually marketed as plain historical romance with just a touch extra, I think.

Kathryn Kennedy has a few books with Dorchester that have this.
Rhonda Thompson had werewolves in Regency London.
Teresa Medeiros and Kathryn Smith (and a few others) had vampires in Regency England.

Someone else had a book about a heroine that could turn invisible, but I forget the name and the title (I just recall the cover). Something to do with Moonlight.

It's not exceedingly common but they're definitely around. I think the reason that we haven't seen more of them is because there has not been a break-out mega-seller for this type of thing.

Susan Krinard also comes to mind.

From what I remember, a lot of paranormals are also historical.

What everybody said. Fact is, if you write something good and interesting there's probably a huge market.