Is it OK to begin a novel with a nightmare?

Sure, that actually sounds kinda interesting. Actually sounds like a good opening for a new Nightmare on Elm Street or a goosebumps book 

There are no laws against it.

It's "OK" to begin a novel with ANYTHING that doesn't bore your readers. Whether a nightmare will grip or bore them is 100% down to YOU and YOUR skills as a writer.

Yes. Very few books have already thought of that. 

Generally, opening with any kind of dream is a negative, although skilled authors have pulled it off many times.

But anyone with lesser skills is usually considered to have manipulated the reader, who started the book with the perfectly reasonable expectation that they were entering the book's reality, not some character's dream. They then feel cheated to have learned none of the stuff they were started to be invested in is even real.

If you decide to do this anyway, make it abundantly clear it's not real from the start, okay?

There is no laws against starting a story with a nightmare; but I think it would be tricky to write and still keep the readers on your side when they find out all the thrill and excitement "was only a nightmare."

Write the story and find out how you and your honest friends like it. You won't know if the scenario works to better the story until you write it.