Back in 2002 or 2003, a 1 hour TV show was made for Australian & Dutch TV on Annette Kellerman's life called The Original Mermaid.

It appears to be still in distribution by Australian documentary distributor Ronin Films in Canberra

A study guide with lots of cool info on Kellerman and some pictures from later in her life was produced to accompany the show, which can be downloaded from the Ronin site