In my experience, Neil Gaiman's understanding of mythology and literature is exceptionally profound, and he is able to render stories with mythological resonance surpassing the work of most of his contemporaries, particularly in the groundbreaking Sandman series.
His choice of Morpheus comes from Ovid, but I'm wondering if Heine's famous poem "Morphine" was an influence also.
It might just be coincidence in the rendering of two great artists, but where I didn't discover Heine until later in life, Gaiman strikes me as someone who probably read him in high school.
A notable element of the Sandman character is his perpetual, existential angst.
There’s a mirror likeness between the two
Bright, youthfully-shaped figures, though
One’s paler than the other and more austere,
I might even say more perfect, more distinguished,
Than the one who’d take me confidingly in his arms –
How soft then, loving, his smile, how blessed his glance!
Then it might well have been, that his wreath
Of white poppies touched my forehead, at times,
Drove the pain from my mind with its strange scent.
But all that’s transient. I can only, now, be well,
When the other one, so serious and pale,
The older brother, lowers his dark torch. –
Sleep is good: and Death is better, yet
Surely never to have been born is best.