Nightmare wants to at least get Dream to surrender so that Nightmare can conquer the world, starting from his hometown. His plan to get Dream to surrender involves you. He uses you as bait. He threatens to hurt you if Dream doesn’t surrender, and you’re sure he means business. But, Nightmare doesn’t plan to actually hurt you. Over the time of having you with him, he grows to like you, and vice versa. But, at first, you’re terrified, and he’s amused by that.