The only Promethea story so far not written by Alan Moore and not part of the regular Promethea canon. It can be found in America's Best Comics 64 Page Giant Special.
It was also republished in the 2003 Americas Best Comics magazine
Obviously modelled on Winsor McCays classic Little Nemo in Slumberland. It was written by Steve Moore with art by Eric Shanower.
Here is an interview I did with Eric in late 2003.
Here is a sketch of Promethea as she appears in this story.
Here is one of the nine panels:
and a comment from the illustrator:
Thanks for calling it beautiful. I was delighted to be asked to draw that story. I was delighted to work on a story connected with Alan Moore, whose work I usually enjoy quite a bit. I was especially delighted that it was connected with Promethea, since I think that's one of the best comic books currently published. The editor and the script indicated the art should be reminiscent of Little Nemo, so that's what I tried to do--retain a flavor of Winsor McCay, while not slavishly imitating McCay. I do love McCay's work, and I think that I was appropriately selected to draw that story
from an interview with Eric Shanower
Supposedly published in the New York Clarion Comic Section between July 23rd and September 17th,1905 the author and illustrator being Margaret Taylor Case whose initials appears in each last panel.
There are 9 pages in all with the first and last page having 8 numbered panels and all the rest only 7.
Little Margie and Promethea along with their companion Chinky visit the Sun, the Moon, Venus, Mercury, Mars and Neptune in an attempt to find the missing diamond ring needed for the wedding of the sun and the moon.
This series is referred to in the Promethea Puzzle in Issue #1 and Little Margie herself refers to it in Issue 13, Page 16, panel 1
"Visiting the higher spheres is dangerous"
"Oh. You are fibbing. We went there once to find the sun-king's wedding ring. Yes"
As it states in the table of contents
Note: Dear Reader, please bear in mind that this story first appeard in 1905 and should be read in the context of the times - The Editors.
In the 64 page special we also learn that Promethea's voice is provided by "Maisie Parks a legend in voice overs who used to Zealot in WildC.A.T.S." because "the real Promethea's got adenoids and this Idaho accent..."