I don't think it is a nightmare, but just a deep longing to be free from the cold, dark, moon, and have the wonderful life that the pony alive down in Equestria. I agree with your signature by the way.
Lots of the "depressing Luna fan-art" strikes a chord with me as far as thinking that being torn apart from a sibling for so long (no matter what the reason) would be rather awful. While the show only briefly deals with the story, I don't think it's a stretch at all to imagine that being estranged like that would be pretty terrible for both sisters.
But then I like GLORIOUS BEAUTIFUL Celestia art quite a bit, too, so maybe I'm just the yin to your yang.
Luna is far better than Celestia in many ways and it proves that Luna is more intellectual than Tia. But how the heck did she get banished again? I remembered why but didnt understand why she became nightmare moon and had those problems...