
Imo it's better to read/watch TRUMP first to understand the gist of the series first, and after that depends on which one you're more curious about.
You can watch Grand Guignol to understand Delico's Nursery better and if you wanna know the birth of Ul.
Or you can watch Specter if you want to know the birth of Sophie.
And if you're curious about Raphael and Angelico's relationship, you can watch Cocoon: Tsuki no Kageri.
(There are two titles of Cocoon. The other one is Cocoon: Hoshi Hitotsu, but basically the story is the same as TRUMP. So you can watch TRUMP or Cocoon: Hoshi Hitotsu)

Most TRUMP fans are probably also quite confused since this is the first time also for us watching Delico's Nursery even though they've included bits of scenes from Grand Guignol into the anime. There are lots of characters in DN that appeared for the first time in the series, so it's natural to feel clueless.
Only 8 episodes more to the final episode of DN so I hope lots are gonna be revealed in the future.
I'll leave this comment for those who are curious about the series. But excuse my bad english
The manga TRUMP is based on a stage play with the same title and also the beginning of the TRUMP stage play series. It has so many spin offs and short stories. If you're finding this manga full of plot holes, because it's supposed to be that way. The plot holes are explained in the other series or short stories.
If you're curious about Sophie's birth/family, there's a stage play titled SPECTER.
The ongoing anime Delico's Nursery is the first of the TRUMP series that is not in the stage play format. So Delico's Nursery is an original anime. It has no manga adaptation nor the stage play. But Delico's Nursery is the sequel of the stage play titled Grand Guignol. Both Grand Guignol and Delico's Nursery are the prequels of TRUMP.
The manga TRUMP also has a prequel in works from the same mangaka, titled Cocoon. Cocoon also based of the stage play Cocoon: Tsuki no Kageri, and will be focused on Angelico and Raphael's background story. Will be released on October 2024 (iirc).
Up until TRUMP, the series chronology will be:
- Specter
- Grand Guignol (actually Specter and Grand Guignol happened at the same time/year)
- Delico's Nursery
- Cocoon
- TRUMP
If you don't mind spoilers, there's a website that have all the information you need about the series, from the chronology to the stage plays and other adaptations/stories. Go check trueofvamp.dreamful.org
(TRUMP fans please correct me if I'm wrong)