No, you shouldn’t wake your dog when in REM or during a nightmare. Waking a dog in the REM state can shock them. Your dog may unwillingly attack you if woken suddenly from REM sleep.You should also not wake your dog during a nightmare. This is because, unlike humans, dogs have a shorter sleep cycle making their dreams and nightmares last a shorter while. Your dog will be up in no time therefore it is advisable to let her get her sleep even though she is having a nightmare.