I have ran across the Breath of the Sea's just vanishing when you put them in the Mermaid statue to hold till you can return to the ship. Once you open the mermaid at the surface the Breath of the Sea is the only item missing. This can happen at every treasury and shrine, but it doesn't happen every time you place you in the mermaid statue. So if you are going for the Coral Curse, I suggest you just swim the Breath of the Sea to ship, do not put it in the Mermaid statue. I have heard there has been issues with these mermaids before. Just raising awareness of the issue, I have lost 8 Breath of the Sea to this problem.