Hmm. If I may I recall from Skyrim that a player can make enchanted items.
So Denise could use/make something of water breathing. But that is only one option.

Or she used her magic to "mutate" herself some gills.
I may be going out on a limb and guess a lot the the other felines think Denise is strange.
But I digress.

you don't need to mutate anything, you can literally just cast Water Breathing, combined with some other spells to improve your maneuverability and shield the eyes from the sea water, and you're pretty much golden.

And there's not really that strong a relationship with real-world felines per-se; just because they look like cats doesn't mean they have to behave like them.

I was fishing for what variety of cat Denise is.

Skyrim was used as a crude example. Your creation, your world building.
Just curious of where things may lead.

Controlled mutations would likely be called 'biomancy' in a fantasy setting.
And gills would be one way to greatly extended time underwater.

I suppose Denise would want to use a water breathing enchantment on an accessory that would not slip off.
Especially at the worst of times.

She's adorable.