I daydream a lot, but lately I only daydream things that you would call a nightmare. Does this mean something?

It might mean that there is some anxiety that wants to be dealt with. I know, it might be a little scary, but just try to welcome the fear and try to hear to the message it tells you. If you deal with your fear voluntarily it might stop seaking for your attention by using harsh means and instead give you some information in a calmer way. And once you know what worries you, you can do the next important thing: Figure out how to feel secure again and how to rassure the fear a little. This might work by caring about yourself in a self-loving way.

Maybe it is a way of your brain to get ready for some event you're scared of (so you are worrying about something). Or to elaborate something that happened in the past. Analize these "day nightmares" and you will eventually move on.