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In one universe, seven core concepts of reality were embodied by nigh-immortal entities known as the Endless. Among them were Death and Destiny.
In its heyday, this universe was “vibrant” — “a world of adventure”, which was “full of heroes and villains and living suns… Magic, gods and witches, angels and demons, and things stranger still”. A version of Jenny Everywhere lived and died in this universe, and several other Jennies visited it at one point or another.
Eventually, however, it fell victim to entropy; mortals and immortals died, followed by the Endless themselves, until only Death was left, alone in an empty, eternal darkness. A version of Jenny not native to this universe found herself, by chance, in this universe at that point in its history; meeting Death, she convinced her to leave this dead world behind and enjoy a “retirement” as an interdimensional traveller herself, continuing to enjoy the spectacle of life as she had done before. (PROSE: Psychopomp)
Behind the scenes
As Psychopomp is a work of fanfiction, mashing Jenny Everywhere up with the world and continuity of Neil Gaiman's The Sandman, this universe is either the universe of The Sandman, or, at any rate, a parallel version of it whose history is identical to it up until the very last moments of its history. There is some debate about whether the universe in question is some form of the mainstream DC Universe, or a distinct universe, sometimes dubbed the "Vertigo Universe".
Indeed, some Sandman stories imply that the same set of seven Endless seen in the story have dominion over multiple different timelines, rather than a single universe per se; this possibility is alluded to in Psychopomp, with Jenny suggesting that Destiny's Book would have concerned itself not just with the universe she and Death are standing in, but also with its “multiversal cluster”. This would make the cosmos of the Endless not just the DC or Vertigo Universe but, in fact, the “DC Multiverse”.