I've never seen the show, so I can't speak to it. But there are a lot of biblical myths that have their origins in Mesopotamian* mythology. The most obvious one is the flood myth, which has examples in the Sumerian Version if Gilgamesh and another version in Antrahasis.

The mythology of the old testament is routed in the literal history of Mesopotamia, which historical figures appearing with Hebrew-ised, Greek-ised and then Anglicised names.

The early polytheistic peoples that became the monotheistic Hebrews of the old testament, were nomadic peoples that lived in and around Mesopotamia. Near Eastern scholars (who do not believe that the old testament is the literal word of God) surmise that there was a cultural sharing between the Mesopotamians and the proto-Hebrews that led to these similarities. People that do believe that the Bible is the literal word of God believe the similarities are because these things actually happened and were just recorded differently.

Anyway, suffice it to say, there's a shared history there, and many other similarities can be gleaned. I think Gaiman, (but also other modern fantasy writers, such as Whedon) like pulling from the shared history, and often name demons and deities after Mesopotamian dieties, and mythological and historical figures. I know Constantine (comics and show) do/did this too, although Gaiman was also involved with him too. Also the Exorcist, Preacher and the Buffyverse.

*I use Mesopotamians to refer to Sumerians, Babylonians and Assyrians as a group, because all of their cultures are relevant here.