What layer do Nymphs spawn on?

They spawn in the Cavern layer.

I have often found them near marble but they are not part of that spawn.. Most likely I slow down long enough around marble while being careful just to notice the Nymph.

Best thing? Get a rare creature detector (Lifeform Analyzer) from the Traveling Merchant and just keep an eye out for them.

Nymphs

Nymphs are rare enemies that spawns as a Lost Girl the first time you see it. The spawn rate is 0.6% in Pre-Hardmode and 0.1% in Hardmode.

They are found in the Caverns and not in the Underground.