Marla Mason, chief sorcerer of the coastal city of Felport, is called to the Blackwing Institute, a hospital for criminally insane magic-users. One of the patients tells her the world is going to end soon, when a great eldritch god rises from the ocean. Sure, there's a good chance the god is entirely imaginary... but that doesn't mean its cultists won't kill a lot of people trying to usher in its arrival.
This story takes place between the events of the novels Blood Engines and Poison Sleep, and was originally published in The Solaris Book of New Fantasy (and later reprinted in the Year's Best Fantasy).