I think the universe just is. It's a dream both dreamt by Lux and continuously woven by many threads together into one tapestry in the Storytime. Lux provides the framework/mechanism for the universe to exist - she's the "host" - but these dreams exist autonomously from her mind (yes I'm going with the female reading here). Similarly, in Storytime the disparate dreams, which exist in their own right, are woven together into "stories" with "threads".
I don't think Storytime/the Vagabond or Etta can be creating the universe, since they occupy the time and space within it - the universe must exist a priori to both, otherwise they wouldn't be able to function/exist at all. However, in order for the universe to have come into existence, must there have been a previous First Dreamer before Lux (a bit of an oxymoron)? Unless Lux is dreaming from within another universe? Both of these theories are a little spacey, though, so I would say instead that Lux is simply the in-universe embodiment of the entity that hosts the universe's dreams, and was created alongside the birth of the universe.
Lux also isn't the immutable immortal God we're used to hearing about - obviously she is affected by the world she's dreaming (i.e., her illness), as she's not "outside" the dream, she's a living part of it. It would make sense, then, if the Undreaming is what's causing her illness, as it's essentially destroying reality, a reality Lux is bound to.
If this were the case I'd be resistant to another Dreamer "taking over" for Lux (by beginning to dream the same dream). I think Zoë's "purpose" ought to be saving reality by defeating the Undreaming (in whatever way) - it seems so much more dramatic and active than simply taking over the structural position Lux occupies.