She's a succubus from an excellent fighting game series called Darkstalkers that's been around since 1994. She's one of the more popular characters from the series and has been in most, if not all, Capcom vs. games as well. She's had a lot of exposure for nearly two decades even if her debut series hasn't, so I'm surprised you weren't familiar with her.
There were three Darkstalkers games; 4 counting the PSP remake. She's also in all three Marvel vs. Capcom games and both Capcom vs. SNK. She's in Tatsunoko vs. Capcom on the Wii, Super Puzzle Fighter 2, and even an RPG, Cross Edge. She was in the Japanese-only Namco x Capcom, Project X Zone and Monster Hunter Frontier. But she's been in 12 games that've made it to America so far.
Looked up the character; you're right, they do look very similar. Morrigan was likely the inspiration for Koakuma since I think the first Touhou came out right after the first Darkstalkers.