Actually I've had sort-of a similar experience I guess. I typically practice a sort-of on-again / off-again kind of mindfulness. When I happen to think about it, I try to do it. But a lot of the time, I really just don't think about it. Every so often, though, I get "the bug" to try to really bear down, so to speak, & consciously practice staying mindful as much as possible.

What I've found is that, when I try to focus on being mindful, it seems like I almost always end up having some sort of mad hissy fit over something or other. It has happened enough, that I do believe there is a connection. So while I can't say I've had the experience with nightmares you've had, I can say that I do believe there may well be a connection between keeping oneself in the present moment & increased anxiety.

As far as what to do about it... well... I don't know. In my case, I've simply come to the conclusion that keeping myself grounded in the present moment is not something I can force. To the extent that it happens... it happens. To the extent that it doesn't... it doesn't.