Here's why:
* Folk tales are typically short stories: They are not considered long works like novels.
* Folk tales are often passed down orally: They don't have a single, official published version that would warrant underlining.
How to properly format a folk tale title:
* Use quotation marks: "The Three Little Pigs"
* Italicize the title: *The Little Mermaid*
If you're writing about a specific version of a folk tale that has been published, you might use the formatting guidelines for that particular publication.