Nightmares are the new enemy designation in Destiny 2. Introduced via the Shadowkeep expansion, these powerful bosses are some of the toughest foes in the game. As you progress through various quests and bounties you will be tasked with hunting down Nightmares on Io. Located in some of the Lost Sectors, these Nightmares replace the bosses at the end of these mini-dungeons. Here is where you need to go if have to kill Nightmares on Io.
The two Lost Sectors that contain Nightmares are Grove of Ulan-Tan and Aphix Conduit. The former is right by the Lost Oasis loading zone. You can actually skip the entire Lost Sector by jumping on the rocks once you enter the dungeon. This lets you reach the area by the chest right away, forcing the boss to spawn.
Alternatively, you can visit the Aphix Conduit which is on the far end of The Rupture. This Lost Sector is just a massive open room filled with Vex. While you can rush to the boss, we suggest clearing the room before engaging the Nightmares. Of the two, we suggest just farming Nightmares at the Grove of Ulan-Tan since you can easily climb right up to the boss room. It’s much faster and you’ll encounter far fewer hostiles during the battle.