What makes you think robots even have nightmares? Fine, let's assume they do for the sake of this discussion. What would a robot fear? To answer that, you must first ask yourself what you fear, but most importantly, why you fear it. A given organism on this planet "fears" (or at least generally tries to avoid) anything that will kill it. Since "survive at all costs" is the primary directive of all life on this planet, anything that threatens this primary directive could realistically be considered "nightmare fuel."
But with robots, things get complicated. A robot's "fear" (or rather, thing it might take steps to avoid) could be seen as similar to our own, as in anything that interferes with its primary directive. That's where the similarity ends though, as this primary directive is in most cases going to be quite different, depending on what the robot was created for. A robot designed to regulate the temperature of a building by keeping it around 70 degrees will do anything within its capability to fulfill this directive. It won't try to stop you from punching it in the face because survival is not its concern--regulating the temperature is. Depending on how advanced its AI is, it might conclude that "survival" is important for "keeping the temperature below 70." However, it wouldn't "fear" things that can kill it like it might "fear" being unable to control an extreme temperature spike.
Ultimately though, it's important to not anthropomorphize robots and AI. All we have to do is take a look at things alive today to gain an idea of how radically different intelligence can be--see the octopus for example. AI "fears" might not actually be fears at all, but rather, things it takes into consideration and makes calculated moves in order to avoid, but that's it.
