The character Manami, who's playable in Lady Knight Saga and also appears in Naedoko Dungeon Chronicle and Gemini Fort is actually the person that one girl in this game was looking for, and eventually finds. I think her name may have been translated differently in this game, but that's a mistranslation. She's definitely Manami, and the Slimegirl she has is the best proof.
(She also has it in Gemini Fort, another game that was translated, so you can see it there.)
So what I'm saying is. No other game specifically has the modern world, but they do have a character that came from the world of Nightmare Girls. (Also, in some of them you go into post-apocalyptic modern worlds, but they are definitely different places from the world of Nightmare Girls.)