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Spinoff Dead Boy Detectives Cancelled
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Uh, British and magical? Lol. I assume the linkage is actually somewhere in the Sandman comics (which I haven't read through). I can't think of any direct link between the two Netflix shows.
Death of the Endless is in both, played by same actress. Despair also shows up in Dead Boy, but I can't remember if she showed up in season 1 Sandman. But generally I think they were only meant to be tangentially linked, so you didn't have to watch one to enjoy the other.