Work in progress. 

Goal of the deck is to bring in play Nightmare Shepherd , Gray Merchant of Asphodel , a creature sacrify engine like Woe Strider, Prime Speaker Vannifar, Cavalier of Night and Thassa, Deep-Dwelling for blinking Gray Merchant of Asphodel doing, in this way some damage to opponent. The combo works with other creatures too but Gray Merchant of Asphodel seems the better way. Others ways to play Vanny's decks may be with : End-Raze Forerunners, God-Eternal Rhonas,4+ colors versions, sac damage versions, blink versions, elementals etc.

To bring the combo into play we have Prime Speaker Vannifar and Enigmatic Incarnation.

Enigmatic Incarnation works during our end step, that means we are gonna use it to bring in play cards not Hyrax Tower Scout :

Dryad of the Ilysian Grove from Wolfwillow Haven; 

Prime Speaker Vannifar, Thassa, Deep-Dwelling, Nightmare Shepherd and Spark Double from Dryad of the Ilysian Grove or Gift of Paradise; 

Gravebreaker Lamia, Cavalier of Night, Yarok, the Desecrated (if you wanna use it) and Gray Merchant of Asphodel from Enigmatic Incarnation, Nightmare Shepherd, Thassa, Deep-Dwelling, Spark Double with right target;

Nyxbloom Ancient  from Archon of Falling Stars, that comes from sac of Gravebreaker Lamia.

For Vanny's combo bring in play Nightmare Shepherd and Prime Speaker Vannifar asap; remember Nightmare Shepherd's tokens have cmc of dead creatures as they are copies; we sac Nightmare Shepherd's tokens to Prime Speaker Vannifar, we sac Hyrax Tower Scout and Corridor Monitor to Woe Strider when Vanny is tapped.

As an exemple:

Prime Speaker Vannifar sac Corridor Monitor >> Hyrax Tower Scout >> Nightmare Shepherd

play Corridor Monitor or Hyrax Tower Scout target Vanny to continue loop 

Prime Speaker Vannifar sac Corridor Monitor >> Woe Strider  

Prime Speaker Vannifar  is untapped from Corridor Monitor's copy

sac Woe Strider >> Spark Double copies Corridor Monitor

sac Woe Strider's goat token with Vanny >> Eidolon of Philosophy (or whatever 1 cmc creature) 

play untapper   

sac to Vanny Cauldron Familiar >> Corridor Monitor >> Hyrax Tower Scout >> Nightmare Shepherd or Thassa, Deep-Dwelling

sac untapper 

and sac Nightmare Shepherd or Thassa, Deep-Dwelling with Vanny >> Gray Merchant of Asphodel

if you have Thassa, Deep-Dwelling in play, wait until the end of the turn for blink Spark Double copying Gray Merchant of Asphodel and after sac Gray Merchant of Asphodel

if you have Nightmare Shepherd, sac Spark Double with Woe Strider, copy untapper, sac Nightmare Shepherd >> Gray Merchant of Asphodel, sac both Gray Merchant of Asphodel.

If game is taking time you can use Fae of Wishes's Granted, Archon of Falling Stars, Nyxbloom Ancient.

Consideration :

Gilded Goose or/and Paradise Druid inclusion, but are they really important? Deck based only on Prime Speaker Vannifar and with 0 copies of Enigmatic Incarnation may be more consistent with them.

You can play a more simple version of this having multiple copies of the strict combo's cards.

Sideboard isn't a fixed thing, use your creativity! You can add more Fae of Wishes cutting stuff you feel useless.

Deck was based on sea creatures before, too many control players and board wipe to play them and having fun.

Deck is for fun, even if it does good stuff.

Deck isn't greatly optimized, meta change and so ''how much playable is a deck'', change mana base as you like it, cut useless or ''just cute'' cards.

Suggestions are good things.

Have fun!