What is your worst nightmare? Being chased by some unseen monster through the woods at night? Realizing that you have a test coming up—and you haven’t studied. Or showing up at work and discovering that you forgot to put on your pants, and your underwear.
What about waking up to find yourself abducted by aliens of a most insidious nature.
Now, imagine that it’s not a dream. Creatures from outer space have landed, and have rendered you helpless as they take over your life and the lives of the people you care about. 
In that case, waking up is the nightmare.