Marōn, mære, mara: an evil spirit of Germanic folklore which rides on people's chests while they sleep, bringing on bad dreams (or "nightmares").

As element of wordplay, traditionally goblin-like appearance of this creature undergo gradual shift to more equine form ("night mare"). Then D&D was revealed, and image of nightmare as demonic horse of night was solidified in modern mythology.

As a visitor from hell, nightmare manifests clearly demonic traits: flaming mane and tale, sharp teeth and burning eyes.
Mind you, demons come not only in flame, so nightmare's image may vary immensely - but clear supernatural traits of a steed with hellborn origins must be visible to classify it as a "nightmare".