Duma had been in the Dreaming, so he didn't think that pulling talking animals, goddesses and fairy tales was all that difficult. He had been told by someone that he himself wasn't real. Duma half wondered if this was the Dreaming, some part of it that had broken away from the rest. But the Dreaming had rules, Fairie had rules, even the new-minted creation of Lucifer had rules. But there was always someone, or someones, to impose those rules.
I think that finding the creator of this place would go a long way to understanding it's rules. After all, they will come from him or her.
And finding a creator would allow him to go home. Or at least, back to Hell.