Do you find your anxiety/depression well controlled?
Can you relate the beginning of nightmares with the beginning of your anxiety?
One of the main symptom of anxiety is sleep disturbance. The suffer will either sleep too much or more likely, will only sleep for a couple of hours a night. Very often, sleep is disrupted because of vivid nightmares, which some sufferers may not even remember. Other sufferers may have recurring nightmares.
There are also, many clinical studies about relation between antidepressants and nightmares.
While dreams can occur in other levels of sleep, nightmares usually only occur during REM sleep. Prozac and related drugs cause a drastic reduction in REM sleep and many individuals on Prozac start experiencing vivid nightmares.
Over time this is depriving a person of enough REM sleep and the person's reaction is going into an REM sleep state while awake.
Also, when a person is asleep, the muscles are weak and more or less paralyzed due to a built-in mechanism that causes a person's muscles to remain weak and still during sleep. This mechanism can apparently be bypassed by a person on drugs like Prozac and he can appear to be alert and awake but actually be in a deep sleep state.
Nightmares are less common symptom of Xanax, too.