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…
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.
Io : Grove of Ulan-Tan
The Grove of Ulan-Tan is just north/north-east of the Lost Oasis landing zone on Io.
Titan : Methane Flush
Just to the south-east of the Siren’s Watch landing zone on Titan you will find the Methane Flush lost sector.
Nessus : The Rift
To the west of the Exodus Black landing zone on Nessus you will find The Rift lost sector.