Via RadicalSniper99 from the Windows Phone version:
Nightmare levels are the red levels on the map screen. The first one is available after completing the 3rd Abyss Level.
The first nightmare level has 8 Gaias in it. My recommendation is you just want to go a little slower. The gaps between the walls is smaller so you want to go slowly between the gaps to avoid hitting them. You can always hit the wall once so don't panic even if you do.