No, you should not wake a dog up from a nightmare.  While there is no simple answer to this question, it would be best to let it sleep and eventually snap out of the nightmare. No matter how much your dog seems disturbed during its nightmare, it is not ideal to wake them up. It will disrupt its sleep cycle and would affect its well-being. Another reason why you should neer wake your dog up from a nightmare is that it can be risky for you. When your dog is having a nightmare, and you wake it up, it will be disoriented and have trouble understanding whether it is a dream or reality, and it might attack you.