I think it's easy to assume that Nightmares/Dreams can be created via many means, and that once created, they simply exist and do not require the "dreamer" to continue.
For instance, The Nightmare of Mensis is the nightmare of Mensis, not the Nightmare of Micolash. There are several people wearing the same head cage as Micolash, so it's easy to assume that the nightmare was created by many people. Also, even if it is specifically Micolash's Nightmare, he's already dead in the real world, and the dream continues after he dies in the nightmare world, so it doesn't seem to matter who the originator of the nightmare is, or what state they're in.
Also, an encounter with the pale moon is what made the hunter's dream in the first place, and that dream has been shared by the moon presence, gerhman, and other hunters from the very beginning, and I doubt that it matters that any of these characters sustain the dream. No matter what ending, the dream continues.
And the nightmare frontier, though you can see mergo's loft from it apparently, seems to exist as it's own place.
It makes sense to me that, Nightmares and dreams are simply alternate places in space time that can be created via various means, and once created, they exist independent of their creators. It also seems that Nightmares and Dreams can be connected, despite existing as their own entity. Seeing as how Messengers can move between nightmare and dream with ease, and certain places in the dream are connected to nightmares like the stump and the baths.