None. The only such duel in the comics was between Dream and Choronzon (a demon of Hell) in A Hope in Hell. This was issue #4 of the Sandman comic series, and part of the Preludes and Nocturnes story arc.
Dream never actually fights Lucifer (the redhead with wings in one of the panels) in any way, shape or form. A change was made for the TV show largely because the duel was the main event of the episode and it made more sense to have Lucifer be the primary antagonist.
Of this change, Gaiman told Newsweek: "Some of the changes, a lot of the changes, honestly, are made for a kind of televisual economy, which may sound rather silly but, honestly, if you're hiring Gwendoline Christie, and you've got Gwendoline Christie there, you might as well have Gwendoline Christie do the big important stuff, rather than have her stand off to one side and watch because you've got Gwendoline Christie and why wouldn't you?"
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The full encounter is shown below: