The chapter is called "Nightmare" for two reasons.  In an immediate sense, it recounts the traumatic events of Malcolm's childhood.  From a literary point of view, the chapter also foreshadows tragedies that are to come.

In this chapter, Malcom X recounts events from the first eleven years of his life in an honest, objective manner.  His family was large and tight-knit, and his father the unquestioned patriarch.  Malcolm recalls lessons he learned from his father, especially the revolutionary "back to Africa" theories for which he was willing to risk his life.  The chapter ends in a nightmare of epic proportions, when Malcolm describes the murder of his father, his mother's descent into insanity, and the effective dissolution of his family.

In addition to the title of the chapter, which gives the reader a warning of the tragic course the story will take, Malcolm X describes the sinister visit to his home of night riders of the Ku Klux Klan in the very first sentence.  This opening set the tone for the remainder of the book, foreshadowing the harrowing evil events which are to come.