I've never heard of a nightmare being a monster or evil spirit. In
BrE at least, a nightmare is a frightening dream, no matter what the content. I think it just means that it would be a bad thing to catch the yeti as it (and perhaps other things like it) provides great content for nightmares. The monster itself isn't the nightmare - it might be the subject of a nightmare.
In recent years "nightmare" has started to be used as a noun for very annoying or irritating people ("My cousin is a complete nightmare. He just shouts all the time.") or even as an adjective ("I have a nightmare assignment to complete by tomorrow evening.")