There is always a point where every imaginative author wants to try their hand at riffing off the classics of "children's fantasy." Gaiman isn't exactly shy about his inspirations for the A Game of You story arc: one of his characters directly alludes to Lewis Carroll's Alice in Wonderland by noting that things seem to have slipped "down the rabbit hole"; the Yellow Brick Road of Oz gets a mention and the strange animal companions that rally around the protagonist of the arc rewrite Dorothy's companions; the perils faced by Bilbo in The Hobbit give shape to Gaiman's protagonist's fears.
Gaiman's iteration of a fantastique tale involves Barbie (a character last seen in the apartment building that Rose Walker lived in during the Doll's House arc) being drawn into her dream world--a children's fantasy realm that faces destruction at the hands of a calamitous being known as The Cuckoo. While Barbie lies in a coma-like state in the real world--her dream self is free to adventure--the other residents of her apartment building find themselves attacked in the night by powerful nightmares set loose by an agent of the Cuckoo. In a nice bit of fairy tale logic, the Cuckoo's agent can't directly destroy the dream stone that allows Barbie to enter the Dreaming, but he can potentially use Barbie's neighbors as the tools of its destruction. The Cuckoo's strategem is foiled by one woman living in the apartment: Thessaly. Yes, she is one of those Thessalians from Greek myth.
After gathering the other residents of the apartment, Thessaly convinces them that they need to venture into the Dreaming to aid Barbie on her quest. Being a witch of remarkable power and experience, Thessaly calls down the power of the moon so that they might enter the dream world. (She also notes that they could enter with the permission of Morpheus, but the reason why she chooses the Moon Road instead become clear later in The Sandman.) Gaiman takes a jab at New Agers (and Wiccans in particular) with his depiction of Thessaly's witchcraft; Thessaly's magic is of the old tradition: it is all blood, violence, and unflinching sacrifice. And it gets results, whereas Foxglove notes that her more modern flirtations with a fluffier form of witchery had no real effects.
One of the Barbie's assembled friends cannot travel along the Moon Road; as a transgender woman, Wanda is apparently not woman enough to make use of magic so closely associated with the feminine. This is an interesting distinction, though not entirely a comfortable one. Compounding that is the slightly grotesque way that Wanda is drawn throughout this story line: the line work of her face tries too hard to convey that she was born male. There are also a number of panels in which she is in her underwear and a masculine bulge is ever-present. It's a bit odd that the art isn't allowed the space for its own interpretation by the reader. Rather, the comic does not let this stand as a subtle distinction; one of the neighbors points out that Wanda's body fails to be stereotypically womanly--the "irony" being that the lump in her underpants is pointed out by a butch lesbian who functions as the most outwardly-masculine character in the building. And yet, because of biology (and a weird tangent by which the butch lesbian has become pregnant after having a drunken fling with a "mostly gay" man [!!!]) she's allowed the space to be a "real woman."
But what is a woman? That is the question to be resolved (perhaps unsatisfactorily) in A Game of You, and one we'll turn to in the second installment on this part of the Sandman saga.