Apparently this may come to exist, though Neil Gaiman hasn't started work on it.
It sounds like a prequel.

Thoughts?

Thoughts, you ask? I'm excited and very much looking forward to reading this! As you can tell by my avatar, I am a big fan of Sandman, and I would say its probably the greatest comic book series/graphic novel ever produced. Normally, I'm not a fan of sequels or prequels as far too many of them seem pointless, unnecessary, or obviously forced out just so it can milk a franchise. The recent Watchmen prequels are a perfect example.
THIS, however, is certainly not the case here. What we are getting here is Neil Gaiman, the same writer of his series, finally going back to tell his untold story. Something he always wanted to do, based off his very own ideas that stayed with him all these years. I'm hoping it won't be too long though. Maybe just a 6 issue mini-series or something, but it should be interesting!
At least its not some forced sequel by some other writer or something. Besides, we already got that spin-off series 'The Dreaming' which surprisingly wasn't too bad and which I always felt was underated. Fans of Sandman should check it out, as there were some really good stoires told in that series.

Great. My list of books to find is growing larger byb the day. Hope you're happy with yourself.

Oh no! Lol, yeah I know the feeling. I always say I wish I could freeze time so that I can actually read so many of the great books that are out there. Well... let me know what you think if you actually do end up reading The Dreaming. Vertigo did put out some good stuff during its first decade of the imprint's launch. In fact, a lot of those titles were almost tailor made for goths