This depiction of Kali and Shiva references the human experience of death. Kali, who represents dissolution mates with Shiva, who represents creation. She drives him mad and he forgets who he is. For a time, Shiva is lost. Such is death.
The dragon in buddhism by (As far as I know, dragon.is a loosely translated name for Naga when Buddhism was introduced into ancient China. Naga and dragon in native Chinese mythology are quite different.
Grim Reaper: "Cerberus and Persephone," by Laura Csajagi, at deviantART. In Greek myth, the three-headed dog Cerberus ("Spotted") guarded the of the The Persephone ("Corn Striker" or "Death Bringer") was the wife of the Underworld Hades.