No Morpheus himself (I guess a huge black cape doesn't lend itself very well to a burlesque show anyway) but we do have some of his "Endless" siblings - Johnny Blazes as Desire, Tess Aquarium as Delirium and Stoya as Death..
From Dr. Sketchy's website..
I am still giddy from our last session, where we did a tribute to Neil Gaiman's great gift to graphic literature and serialized story-telling The Sandman. The titular Sandman was not represented (as he wasn't for the bulk of the comic, in fact), but we did have models channeling five of his siblings, the Endless - Death, Desire, Delirium, Destiny, and Destruction. I was Destiny. There is no photographic evidence of this, but if you flip a few pages back in Destiny's book, there is an account of me chaining a book to my wrist, then having to unchain it so that I could put my robe on, then chaining it back. As for the Endless that anyone cares about, Lauren Goldberg has provided pictures of Stoya, Johnny Blazes, and Tess Aquarium as Death, Desire, and Delirium respectively.
Check out lots more pics at the link below.