Nightmare met ink's child, shadow when they were wondering the multiverse and later he kidnapped shadow but they see him as an uncle and assumed that they were going home later. Ink, error, dream and swap where searching for shadow while shadow was playing with Nightmare, dust, horror and killer. Nightmare planned to keep shadow and never let them go home

Killer: “Boss, I’ve gotta say this little fella is kinda cute”

Nightmare: “you should know I plan to keep her”