SPOILERS FOR PLOT POINTS OF THE SANDMAN COMICS!
Killala of the Glow:
Before Earth sustained life Morpheus was lovers with an alien woman named Killala. Killala was one of the founding members of what would become The Green Lantern Corp. She had the power to manipulate and shape green light into tactile forms, which her people called The Glow.
Morpheus asks her to accompany him to a sort of convention where The Endless and several stars (in anthropomorphic form) gather for a meeting. Morpheus neglected to tell Killala that he is the living embodiment of dreams. She thought he was just an alien with the power to manipulate dreams.
When she learns his true power and identity she is frightened. And thanks to Desire’s machinations she falls in love with the star / sun of her own world.
At this very same meeting we see Glory of the First Circle (probably an aspect of The Presence AKA God) talking about the creation of Faerie.
Despair is also talking to Rao (The sun / God of the planet Krypton) as Rao is reluctant to sustain life. Despair tells him how “beautiful” it would be if the unstable planet eventually died and one survivor was left to grieve. She did not know it yet but she accidentally set into motion the creation of Superman, DC’s ultimate symbol of Hope. Destruction always had a theory that each Endless was really a thing and its opposite. Death is also present at births and her sigil is the Egyptian symbol of life.
When Morpheus sees Killala in the arms of her new would-be lover he is very hurt. He goes to confront Desire who taunts him that by saying that by now they have done a lot more than just kiss and that he (the star) now probably knows every crevasse of her body. This causes the first falling out with Morpheus and Desire as ironically, at the start of this story, Morpheus was very happy and praised Desire for bringing him love.
Source: The Sandman: Endless Nights.
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Thousands of years ago some Lovecraftian old Gods invaded The Dreaming. Morpheus was captured and chained up in his own dungeon. He tried to scratch his siblings sigils into the wall to call to them for help. One by one they refused as they were much prouder and meaner back then. He was reluctant to call on Desire so he tried Delight first only to find out she is in the middle of “changing.” (Becoming Delirium).
Morpheus reluctantly calls to Desire who sends him a lover. This is a being of light that Morpheus calls Alianora (She had no name). Alianora rescues Morpheus from the dungeon and helps him fight the invading entities. She gets a scar on her cheek from the battle. From the bones of these entities (Lovecraftian style Old Ones) Morpheus made his helm and the gates of horn and ivory. In the new Sandman TV show you can see the Alianora story from The Sandman: Overture carved into the gates.
For a while Morpheus and Alianora were happy but eventually Morpheus started to neglect her because he was distracted with his work. She decided to leave him but her previous life was long over. She could not return to where she came from. So Morpheus gave her a skerry (a fairly large island) in The Dreaming that would later be called “The Land.” And he gave her a dreamstone made of rose quartz, enabling her the power to govern the island as her own. Like her own mini-Dreaming within The Dreaming. This dreamstone is what Barbie calls The Porpentine.
In The Sandman A Game of You the Rose quartz Dreamstone is finally destroyed and Morpheus re-absorbs all of The Land and its characters back into himself. He meets up with Alainora’s ghost and he tells her that long after she left The Land became the creative domain of many young women. This indicates that The Land was also Oz, Alice’s Wonderland, perhaps even The Labyrinth from Jim Henson’s The Labyrinth, etc. She bows to him and then leaves in peace. Alianora’s ghost again appears during The Sandman The Wake to speak at Morpheus’s Wake.
Source: The Sandman: A Game of you, The Sandman: Overture, and The Sandman: The Wake.
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It’s not a very good story. That is to say, it’s not a kind story. The show didn’t establish very well that Morpheus’s form changes based on if a person has a different cultural view on their Dream deity. In Nada’s culture Morpheus was Kai'ckul. It has roughly the same meaning as Morpheus. Nada was the Queen of an ancient African people 10,000 years ago and she had never seen a white man so that is the form he took for her. The Endless have no true forms. They just take human-like form for us mortals.
Nada had seen Kai'ckul (Morpheus) looking up at her one night and “fell in love with him.” She went on a quest to find him like out of a fairy tale. She even runs into Cain killing Abel, who also appear as black men to her. And she eventually made her way to Morpheus. All seems Happily Ever After until she realizes he’s an Endless and her people believe it is forbidden for a mortal to be with an Endless. She flees from him and (This part’s gross) uses a rock to de-virgin herself, thinking it would ruin his attraction to her. When he finds her he tells her that her physical body does not matter to him. He heals her and they end up making love. At first they are very happy but then disaster strikes. A meteorite apparently hits her kingdom, destroying it. She believes this is punishment because a mortal is not supposed to love an Endless. Weirdly though we never see anything like this happen to any of Morpheus’s other lovers (He’s had six lovers that we know of).So she tries to flee him, deciding they cannot be together. He doesn’t take no for an answer. He wants her as his queen. She throws herself off a cliff but dying does not stop him. He’s hurt and angry that she would kill herself rather than be with him and he tells her ghost that he will ask her three times to be his queen and if she refuses the third time he could condemn her soul to eternal torment. She begs him not to do that, because she believes she has to say no.
That’s the back story. This is perhaps the worst thing Morpheus has ever done. In The Sandman Season of Mists Death makes him realize he was in the wrong and he goes on a quest to rescue Nada and apologize to her. I think the show is delaying on revealing the details of this story so the audience doesn’t hate him out right. Until his “Time Out bubble” Morpheus used to be something of an asshole. The majority of The Sandman is watching him grow and become more and more human, compassionate, and setting right the wrongs of his past.
Nada’s story is the issue called “Tales in the Sand.” Morpheus making amends is in The Sandman: Season of Mists. I hope the show still lets her accept his apology. Modern audiences might not go for her forgiving him after what he did but her forgiving him is necessary because it teaches him to accept being forgiven. And leads to him apologizing for other wrong-doings. In the audio drama her story is in The Sandman: Act 1. In the trade paperbacks it is The Sandman: Volume 1, Preludes and Nocturnes. It used to be in Volume 2 back in the early 90s but has been in Volume 1 for over twenty years now.
Later when Morpheus learns he was wrong he goes to try to rescue Nada but Lucifer is shutting down Hell and leaves Morpheus the key to Hell just to mess with him. Morpheus ultimately gives the key to two angels, Duma and Ramiel.
Azazel had Nada and Morpheus rescues her and Choronzon (despite previously challenging him) from Azazel. Morpheus apologizes to Nada for how he treated her (after a well deserved slap from her) and he helps her to reincarnate into a Chinese baby boy.
Source: The Sandman: Tales in the Sand, The Sandman: Season of Mists, The Sandman: The Wake.
Calliope is one of the Greek muses who inspire creativity. Morpheus loved her enough to marry her and they had a son, Orpheus.
Orpheus is the musician who went down into The Underworld to rescue his wife from the afterlife. Hades said he could take her but only if he did not look back at her until after he was back in the land of the living. Orpheus got nervous and worried that he was tricked so when he neared the exit of The Underworld he looked back and his wife was pulled back from him for his lack of faith in Hades’ word and distrust.
Later Orpheus was ripped apart by worshipers of Dionysus. Immortal and just a severed head, Morpheus sent some priests to look after Orpheus. Morpheus would not directly contact his son because after Orpheus’s wife died he had lashed out his father for not helping bring her back and Morpheus (being an asshole at the time) pride was wounded. Morpheus would not reconcile with his son until The Sandman: Brief lives where he would help euthanize Orpheus who has wanted to die for several thousand years now.
Morpheus and Calliope’s falling out was over how he treated Orpheus during the entire saga of Orpheus trying to get his wife back.
Thousands of years later, much like Morpheus, Calliope was captured by mortals. Morpheus, fresh from his own captivity, actually came to her rescue and tormented her captor with a curse of obsessive creativity until he let her go. The man was so obsessive in his writing that he ruined his own hands. Once the man freed Calliope Morpheus removed all of the man’s creativity, leaving him ruined.
Source: The Sandman: Calliope, The Sandman: Song of Orpheus, The Sandman: The Wake.
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Titania is the queen of the faeries and married to Auberon (Oberon). Apparently she and Morpheus had an affair.
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Thessaly is a two-thousand-year-old (or so) ancient Greek witch. She looks like a roughly college age young woman but is actually quite ancient. She was one of the famous Thessalian witches.
Thessaly accompanied Barbie and her friends on the adventure that lead to the destruction of the rose quartz dreamstone.
Thessaly is kind of cold hearted and may represent who Morpheus was before his captivity. She’s powerful and selfish. She even dumps Morpheus and tells him that he cares too much about people. Morpheus was so upset about this relationship that he caused it to rain for weeks in The Dreaming when she left him. But he was being over dramatic and having a bit of a tantrum.
Later Thessaly betrays him to The Kindly Ones for some of her own sins to be overlooked and to extend her already very long life.
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He knew him when he was still an angel.
Lucifer is the now-former ruler of Hell
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Bast:
Crushed on Morpheus but they were never lovers. She is an Egyptian Cat Goddess.
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Nuala:
Crushed on Morpheus but they were never lovers. Nuala is a faery who was given to Morpheus as a present. Though Morpheus is opposed to slavery he had no choice but to accept the “gift” lest he offend the fae court. Eventually he paid her with a boon.