The nightmare secret is triggered after getting a final chapter epilogue ending for each romance, it will show up on the 4th play-through on NSFW mode, and you might miss it if you aren’t paying attention (it’s only one very short altered section of the scene, a minor sprite edit and a remark by Grace).
If you are stuck at 99% there was a bug that was preventing the Marion endings from “counting” in the percentage and you will have to run through them again real quick on skip (you can select the final chapter from each ending branch). If that isn’t it, you may be missing a Jessie ending credit (had the same issue early in release) - or the likely culprit is one of the Grace dates or Marion being hidden scenes when Alana comes to visit. You have to experience all 3 of both of those and they count for completion.