There is a weird disconnect from the biblical figures seen in Lucifer compared to the "Sandman Universe" show.
Lucifer can be explained, I don't need to go over that again. Hell's Mazikeen in Sandman is a version that split off from the Lucifer show Mazikeen, thanks to some out-of-body demon spirit splitting track John Constantine did (my guess.)
Lilith plus Cain & Abel create a conundrum unless you were to assume they're doppelgängers. (All three were created on Earth, which Earth is not specified, but a Earth; so they could have been placed on other Earths too.)
I still think Lucifer is set on like Earth-33 (post-Crisis, no longer Earth-666). Because I would think merging that with a world with Superman, Batman, etc destroys a lot of that show's narrative regarding humanity having no knowledge of the supernatural.