No. Im back on DHEA now and I was on it for months before but I cant say I had an increase of nightmares. My only symptoms were oily skin and hair, hair loss, hormonal lows and pimples.
Out of these symptoms the only one I found intolerable was the hormonal low moods - that is why its important to make sure you're being monitored on DHEA. It was giving me an estrogen overload.