Per The Cinemaholic, The Sandman was filmed in England, in Greater London, Watford, Poole, Surrey, and Sussex.
In Greater London, the Canary Wharf was utilized to masquerade as New York City. Additionally, Stag Hill’s Guildford Cathedral was closed to the public for a few weeks during filming.
Source: https://www.distractify.com/p/the-sandman-netflix-filming-locations