Lost Sectors where you can find Nightmares in the EDZ, IO, Titan and Nessus.
Note: These locations are the only locations i have personally confirmed spawn nightmares, If you know of any others please comment below.
European Dead Zone (EDZ) : Widows Walk
In the area of the Trostland landing zone to the north west of the church there is the Windows Walk lost sector. There are 3-5 nightmares inside making this the best Lost Sector to clear.