What is the setting of The Sandman by Neil Gaiman?

The title of this series is Dream Country, and the dream country is the common setting for all of the stories. The dream country is a world of the mind and a world of the imagination. It is a place of dreams, but it is also a place of storytelling, a place of the subconscious. In "Calliope," the dream country is the land from which ideas flow. Though Calliope is a muse, the king of dreams is the one who can open the floodgates and allow the ideas to bombard Madoc. In "A Midsummer Night's Dream," Shakespeare's work also comes from the dream county. It reveals the unknown and presents truths through things that never occurred. Shakespeare's work itself is a dream.