This a short story, inbetween Lords of the Underworld novels.  In fact, set around a romance between Atlas the Titan God of Strength, and Nike, his Greek counterpart (Greek Goddess of Strength).
When the Titans were held captive by the Greeks, Atlas seduced his way out of prison, and Nike was one of many that he tried his wiles on.  But she fell for it, hated him for it, and had her name tattooed into him for revenge.  
Now the tables are turned, and the Greeks are in captivity.  Atlas is Nike's Jailor, but he's a little obsessed by her.
Despite the setting, this is not a true Captor-Captive romance.  In fact it's best described as a romance in which both parties are in denial about their own feelings, and unaware of the other's attraction to them.  It's also about sacrifice in the name of love.
I loved how Nike is not conventionally attractive.  Being the Goddess of Strength, she's fairly big and muscular, and her nose is too big.  I like how Gena Showalter does this with her characters, not every man and woman is pin-up sexy, but there is always someone who will see their beauty.
It's not a perfect story, I'm not as big a fan of Gena's writing as I used to be, but I did like it.  And I do still like the world and characters she's created.  And I will keep reading.
See my other reviews of the Lords of the Underworld series:← 
#0.5 The Darkest Fire | 
#4 The Darkest Whisper →
(Sorry! #1 #2 and #3 not yet reviewed)