I've had similar fantasies, though I usually like to set such a fantasy in ancient times. One of the sexiest things for me is the treatment of Psyche from Apuleius's Metamorphoses, especially in the darker, more human retelling Till We Have Faces. When it was decided that Psyche has angered the gods, so she was imprisoned, ritually paraded around for a good while before she was to be sacrificed to appease the gods, that story made my ninth grade English class very interesting.