The answer seems to be negative.
In my opinion, those lines are there to paint us a picture of Delirium - a chaotic, unpredictable, and truly (wait for it) mad person[ification].
What she does is sometimes out of proportion, sometimes lacks causality, and is almost always not what you'd expect from a sane person.
But to answer your actual question, those stories don't get more coverage in other comics. Arguably, the little girl she talks about could be the girl seen in chapter 5 - "Delirium: Going Inside" - of Endless Nights:
I'm purposefully not adding more context; in short, this story is set after the events of the main series, and Delirium is having a sort of nervous breakdown, and is lost in her own domain. This girl's mother claims that she was catatonic for over a year; maybe this was Delirium's understanding of "happy for ever and ever and ever".
However, the chronology does not match up - the events of the main Sandman run spanned over more than a year, so this is not the girl Delirium spoke of in issue #21. It may, however, be a link to that event. Maybe.