Feels a little deeper than just anxiety, it seems the nightmares stem from trauma caused by her mother's death in a train accident(something we'll still probably see more sooner or later).Well nightmares and anxiety go hand in hand. Her dreams might get better going forward with her mental state improving. It Doesn't look like magic is at hand in this world. So I wouldn't try to look for a reason to those nightmares beyond that but, if you want, feel free to explore that.
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