Okay, so, I'm looking at this from a slightly different perspective, because online sex work and online erotic fiction are different spheres, but there's some overlap so I'll toss in my nickle.
Your day face and your night face never meet. Not anywhere. You pick a pen name, and you build around it COMPLETELY SEPARATE from your other writing, your day-to-day life, the whole shebang. You do this because A) Your grandmother doesn't have any idea what privacy settings are, and the universe loves a good laugh and she will find your dirty laundry and you're gonna have a bad time, and B) The internet is full of total weirdos and if you're good there's a chance one of them will decide to be weird at you. Heck, if you're bad they may be weird at you. Mostly, this does not happen, but you never want to be the one girl who winds up on the evening news.
If you're not expecting this to turn big bucks, I wouldn't invest in a domain. It's a lot of money you might not make back. I've consulted Amazon, and I got over 2000 results for Kindle erotic short stories. Novel length got me over 50,000. So, it's definitely a thing people do. A stupid huge number of those were free, but I would be doubtful of their quality because of it. (Although, maybe you don't need to be very good. 50 Shades isn't exactly Nobel material.) Excluding the most expensive title ($99. I have no idea.), series box sets, and what looks like a mislabeled textbook, single short stories seem to top out at around $4 and novels at around $10. Customer reviews don't translate directly into sales, but the top ten range from 20 reviews to almost 500.
I'm not sure ifa mailing list applies to short erotica specifically, but I can say that Sean Platt swears by it, and half of his job is marketing short novels and serials (Some of which is erotica), so I would put that on your 'To Do' list.
I'm not sure what the exact breakdown is, but Amazon also had that filter sidebar option for your favorite flavor of porn, which included Billionaire, Men In Uniform, and options for all the more popular paranormals. Looks like there's also lots of LGBT and BDSM in the mix.