Since Dream Country collects four stand-alone issues of The Sandman, it doesn't contribute an arc to the overall saga. But each story does add threads of narratives or backstory that will be explored in more depth later or actively works to reinforce the larger themes of the series.
"Calliope" tells the tale of an author desperate to follow-up on the success of his debut novel. So desperate, in fact, that he acquires the muse Calliope, imprisons her in his home, and rapes her for inspiration. While it's clear that Gaiman is saying something about the often troubled relationship between artists and the sources of their ideas, I'm honestly surprised he hasn't caught more flack for the prevalence of rape as a recurring plot point in Sandman. Alan Moore, perhaps Gaiman's closest contemporary in the world of modern comics, has been taken to task repeatedly for the predominance of scenes of sexual violence in Watchmen, Neonomicon, League of Extraordinary Gentlemen, and especially Lost Girls. The tonal difference between how rape figures into Gaiman and Moore's plots, or if there is one, bears thinking about--as does a consideration of differing public reaction. But this humble blog post is not that place.
Calliope is ultimately set free at the behest of Morpheus, who attempts a bit of poetic justice by giving the author a surfeit of inspiration that drives him to madness. As it turns out, Calliope was a former lover of Morpheus's, and the two had a child together--Orpheus, of Greek mythological fame. This is an instance where a future narrative strand is being seeded, and it is interesting that Gaiman does so without much fanfare. The mentions of Orpheus, and the violence of the Furies, occurs almost in passing, but will certainly factor into the series in a more profound way in later issues. Speaking of comments that are slipped in slyly, there is a commentary about the continual difference in cultural cache afforded to "real literature" and the disapproval that often meets genre fiction in this story that sits neatly alongside the commentary about authors and their muses. Note the shout-out to Clive Barker; oh, to be back in the early 90s again.
"A Dream of a Thousand Cats" is one of the most beloved Sandman stories. It features a gathering of cats to hear one who is like a wandering prophet of their kind: she preaches the idea that if enough cats dream of a world where they are the dominant species--not merely the pets and prey of human beings--they can effectively make that alternate world a reality. The theme of the story puts a slight spin on the idea of dreams shaping the world around us: the story isn't really about individual change achieved through a private dream, but rather it is interested in how a communal dream can change the world. The story reminds me a bit of Percy Bysshe Shelley's poem Queen Mab and his essay "A Defense of Poetry," but with a twist; whereas Shelley claims in his poem and essay that the power of imagination is the inherently human quality of effecting positive change in the world, Gaiman expands this faculty to all the creatures of the world--well, at least those capable of dreaming.
Often cited as one of the best issues of the series, "A Midsummer Night's Dream" won the World Fantasy Award for short fiction in 1991. The story concerns the debut of Shakespeare's play of the same name; in Gaiman's version of events, the play is performed for an audience of faerie folk--including Auberon, Titania, and Puck (who puckishly sneaks his way into the performance). Like "A Dream of a Thousand Cats," this story meditates on the power of dreams; specifically, the story toys with the idea that things that aren't true (such as fictional drama) can still function as markers of truth by telling a story that possesses an essential verity.
Shakespearean allusions in fiction are always interesting because they never seem to be used without a distinct purpose. Of course, this story isn't the first time Gaiman has drawn on the work of Shakespeare in Sandman; quotes from Shakespeare's plays appeared in some of the earliest issues of the saga, and we have previously seen Shakespeare strike a bargain (two plays in return for access to "the great stories") in the issue "Men of Good Fortune." It strikes me that the use of Shakespeare is different in "A Midsummer Night's Dream," and that allusion is used here as a force of literary alignment. Since Shakespeare is often regarded as the foundational man of British letters, a patron saint of the epic in English, I'd argue that Gaiman weaves his story into Shakespeare as a way of subtly saying that Sandman, his epic, belongs to the same artistic lineage as the Bard himself. In fact, this has long been a strategy by which authors of fantastical fiction claim alignment with Shakespeare to forestall criticism of their creations as "genre work." You see it in Horace Walpole's statements about his comedic borrowings from Shakespeare, as well as in Ann Radcliffe's appropriation of Shakespearean quotations as chapter headers in her oft-derided Gothic novels. In a sense, this story is Gaiman feeling himself and feeling that his story has (finally, perhaps) taken shape and is headed in the majestic direction he had always hoped it would. You could call that presumption, but as Sandman is regarded as a modern classic it's not too hard to excuse the man for it, really.
Of course, now that I've just puffed Gaiman up a bit, I have to knock him down directly after because I just don't like "Facade," the story that concludes Dream Country. "Facade" doesn't feature Dream at all--though Death is a character in it; this is instead another story that takes an obscure DC superhero (in this case, Element Girl) and attempts to elevate the source material. The problem is that the story essentially plays out like a vampire story, something-something the pain of immortality, but without the bite. I've always felt that the Sandman stories that try to work-in bits of the DC universe were on shaky ground, but this one just doesn't go anywhere. Yes, it plays with the theme that even immortality might have an end (which could be important for Dream and his fellow Endless), but the ironic O. Henry-style ending just rings a bit false.