The title promises more than the story delivers, possibly more than Willingham is capable of delivering. I found his Fables series dismally undermined by soap operatic gestures and an inability to deliver anything other than standard long-format commercial storytelling tropisms you can see in any number of long-running comic strips and television serials, decked out in Gaimanesque garb. Which is to say, hand-me-down Alan Moore hand-me-downs.
This could have been a great tale; Thessaly is a great character, one of the most powerful magic wielders in the Vertigoverse, richly deserving of a story in which she is actually the protagonist and driving force. Remember Thess was the only gal smart enough to ditch that serial mangler of lady friends, Morpheus. She was so smart even Gaiman, inordinately infatuated with his love-em-and-leave-em-to-fates-worse-than-big-sister-Death mopey Lothario of the dreamways, had to chalk her down as the one that got away.
But here...gah. There's this ghost, Fetch (encountered in Taller Tales too) who's both an amalgam of all the people Thess has killed and a smarmy he-ghost who wants to hook up with Thess and have adventures. Thess is having none of it. So Fetch brokers a totally brainless deal, gets Thess and himself into immense danger and finally has to sacrifice himself to undo his own mess. Well that's a great tale of Fetch, spectral asshole, but what's it got to do with Thess? Willingham too scared to make her the main player in her own title?
Sure there are some great scenes where Thess goes off visiting other realms to try and find a way to defeat looming nemesis, but they're just window dressing. Stripped to its essentials this could have been a story about a couple of high school kids, she won't give him time of day so he tries to impress her by palling up with some cool kids. Turns out the cool kids are gangsters and they're coming to mess with the object of the dork's unwanted attention. Dork mans up, faces off the heavies at great personal cost. Oh come on Willingham. Thess is worth much, more than this. Fie on you. May you be plagued with genital warts for this travesty.