Thessaly is a witch from ancient Thessalia. She is an extremely cold character. She is driven solely by her own self preservation and has no problem killing. She isn't malicious, harming only those who would attempt to harm her.
At some point in the past, Thessaly was involved in a relationship with Dream. The events in the story arc Brief Lives follow her breakup with Morpheus.
In A Game of You, she was living in an apartment building with Barbie, Wanda, Foxglove, Hazel and a man named George. Thessaly kept to herself in the building until she was nearly killed by the Cuckoo who lived in Barbie's dreams, that was acting through George. Thessaly murdered and decapitated George, then bit out his tongue and put nails through his eyes to keep them open, using her magic to make him talk. Thessaly found out the Cuckoo was behind the attack and along with Hazel and Foxglove using her magic she got the moon to allow her to journey into the Dreaming to kill the Cuckoo.
She meets the Cuckoo, but it uses mind control on her rendering her defenseless. With Thessaly rendered inactive, the Cuckoo carries out her plan and destroys the dream land of her birth. With the dream land destroyed, Thessaly, Hazel, Foxglove and Barbie were trapped. Barbie was granted a boon by Dream. Thessaly wanted Barbie to wish for the Cuckoo to be killed but Barbie refused and asked for all four women to be returned to the waking world safe.
Thessaly using the moon to transport herself to the dreaming had dire consequences on the real world and caused a storm. Thessaly's apartment building was destroyed and Wanda another resident of the building was killed.
In the "Wake", Thessaly displays genuine grief at Morpheus' death and cries.
Thessaly has continued to have adventures of her own in two limited series. In the first series, she battled and murdered several death gods and in the second series she is forced into becoming a "Witch for Hire" and becomes a monster contract killer.