It's apparently retelling part of Seasons of Mists, and telling the story of what Death, Delirium and Desire were up to when the dead were rising. (You might need to fix your gaiman feed (switch it to neil gaiman feed on my journal if you didn't get his little update about this...or maybe you just didn't read it:))

I have already made an icon to make fun of dear, mangafied Morpheus.