**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_:

[![][1]][1]

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.


  [1]: https://i.sstatic.net/lCLKs.jpg