No nightmares about Castlevania from the games or official media themselves, but plenty from a fanfic on Wikifoundry I've been betaing. Nightmares aren't always the scary type; sometimes they just create stress.
Take very basic, gamebreaking mods like instant build and cooldown, free units, all powers and heroes for RTS/RTT games like C&C, Battle for Middle-Earth, Dawn of War, and Company of Heroes. Convert that into the setting for a post-DoS fic set in 2045: an endless meat grinder of a war for the Dark Lord's succession.
From city- and worldbuilding series like Civilization and SimCity, take the logistics of governing whatever areas you control. Turn this into the challenges of ruling over an empire, even if you're the ultimate evil or especially if you've only built up your territory so you'd be too politically inconvenient to kill.
Close comparisons to ground-level views of day-to-day life are dystopian series like The Sims, The Elder Scrolls, Fallout, GTA, Metal Gear, and indie games like The Last Stand, Dead Frontier, and Caravaneer.
Add in some of the points from Dawn of Sorrow. There's a functioning teleportation machine still in the Lost Village—the technology exists and can be reverse-engineered. In a nearby cave, there's a statue that heals even the worst injuries. A guy possessed a Doppelganger and turned it into his new body. A witch knows a technique along the lines of what created the Vampire Killer, and she can apparently release souls. A Dark Lord will arise, even if it isn't the old one.
All of what I mentioned is only the background to the nightmare. Imagine being the one to check the accuracy of the author's figures and barter chains. The Karnsteins' (Carmilla's clan) pork scam wouldn't have worked without trade deals between EU members and Japan. Olrox has a human contingent in his armies, and they need caffeine—as he's based in eastern Germany, that meant coffee, and from there, which type for long-term storage (robusta, freeze-dried instant) and which low-cost supplier (Vietnam). I had to see whether the commodities exchanges the author mentioned actually traded in gold, and how much an average gold coin weighs. There's even the part where the author's currently bogged down, using beverage purchases to predict someone's next move—an old technique; newbie marketers used to be taught how to read a person's background based on what they bought.
Figuring out whether things from the story would work has woken me up a lot of nights and kept me from falling back to sleep. I do enough calculations at work already.
The worst part is the author's not likely to release this fanfic to a public archive until she figures out how to use AO3. To test their system, she's writing another Castlevania fic, a one-shot from the perspective of Lucy Westenra.