Bizarrely, I find high BG means I am more likely to experience nightmares.
At least, if I wake in the middle of the night and remember what I was dreaming about (which is never nice), I know I have a high BG.
It's not something that ever crossed my mind, but theoretically it sounds likely as stress can cause it to rise. As far as I know there is no scientific proof of it being directly linked but there are plenty of anecdotal recounts of it.