What a Calendar Does
First thing's first: calendars were originally made to measure time and therefore predict the cyclical nature of events in time. Most Earth calendars measure months (cyclic Moon phases) and seasons within the year; and they are used to predict important agricultural events like planting and harvesting.
A perusal of an almanac is instructive at this point!
What a Calendar Might Do
In order to apply this to your merfolk, we need to analyse the data you've given.
Merpeople themselves are intelligent and have religion, magic & trade. A calendar might be useful in determining festivals and fairs. So far so good.
Merpeople are aware of several natural phenomena: day/night, tides & currents, and storms, particularly hurricanes.
Merpeople are not aware of stars and lunar phases, though they may be aware of "really bright nights" when the full Moon is overhead and "really dark nights" when this crescents or the new Moon is overhead. They don't go to the surface, so don't observe these things.
Is a Calendar Practical?
Given what we know of your particular merfolk, I think it is safe to say that there are not a lot of assuredly & predictably cyclical events that they can observe.
Earth has four tides a day, making them useless for a calendar but if they had clocks, an almanac might be more useful. Hurricanes are seasonal, but not predictable in either place or time. A calendar might be useful to set polar points around the "height of hurricane season" and its nadir. In some regions, monsoons are more predictable, so calendars there might reflect monsoon variations. Storm avoidance is apparently very important for marine life, merfolk included, and being able to predict the large seasonal storms with some accuracy would be a good use for a calendar.
Day/night length cycles would be known to merfolk, so their calendar might reflect seasons of longer days and seasons of shorter days.
Moon phases, motions of stars and planets, terrestrial seasons would largely be unknowns to them and thus they'd have no zodiac, no Moon phases or any astronomical stuff in their calendar.
What Does it Amount to?
So I think your merfolk could have a calendar, but I think it would be rather different than a human calendar in the same region.
I think it would likely incorporate the Day/Night as a basic measure of time, and I think its principle focus would be seasonal storm tracking and thus something like a "year" might evolve as a secondary measure of time.
Months, fortnights, weeks and astronomical seasons I think would not be on their calendar. Longer cycles like cometary years and planetary cycles would be of no importance at all.