Here are the Locations and Video Walkthroughs for all 9 Nightmare Levels. The Videos show the Location of the Nightmare levels too. Difficulty is easy.
PrologueAfter the passport control, collect the Key from the Desk behind you and follow the Story (Elevator), after you leave the Elevator turn right and open the Iron Gate with the Key and go downstairs.
Chapter 1 After you reach in the Prison the Circle Area with the Cells, go to Cell Number C4, open the hatch, fall down and interact with the Bed. The hatch / Cell C4 is part of the Mainstory and unmissable.
Chapter 2The Level is located at the Beginning of the Chapter, after you reach the Docks with the E-Ship, go left Side to the other E-Ship and use it. At the first Stop is in the right Corner the Location from this Nightmare Level.
Chapter 3After a while in the Chapter you will come to a hatch (unmissable because Storyrelated), open the hatch and jump in the very little Room right hand over the railing, at the bottom look to the right Side and you see the Bed aka Nightmare Level Location.
Chapter 4After you reach the tavern and meet with Annette (unmissable, storyrelated) go upstairs before you leave the tavern and you will find the Bed aka Nightmare Level.
Chapter 5After you leave the Wulfsburger Place and unlock the Challenge for that Area, you will arrive the House of Agent Two. This House is unmissable and Story relevant, before you interact with the Door, turn around and go straight back in the Ally, here you find the Bed aka Nightmare level Location.
Chapter 6After you get the Sawed off Shotgun follow the story. You reach a Wall where you can climb up with the Pipe (unmissable - Story) before you climb up, look to the left Side (some Meters before the Wall), here you will see the Bed aka Nightmare Level Location
Chapter 7The Location is after you breaching the second Wooden Gate with the Robotor, get out and go over the Bridge, then jump right Side over the Railing (here is a Boat) into the Water. Swim through the Tunnel and right Side at the End you will find the Bed aka Nightmare Level Location.
Chapter 8First of all, the Location of the Boss Level is after you passing the electric door (unmissable). Go left Side two times and you see a Hole, fall down and at the next Wall left side is a very small gap, use it and here you will find the Bed aka Nightmare Boss Level. The level itself its one Room with the Boss, nothing more. On easy or Normal the Boss is no problem (you dont have play the Nightmare level on hard or Uber)