Is it common for pregnancy to cause bad nightmares ?

Yes it's common: Night mares are common in pregnancy especially first one. The cause is not known but there are a lot of theories. Fears of pregnancy, childbirth, loss of freedom, sharing your life with someone. Remember you are sleeping a lot more than usual, more sleep brings more dreams and sometime night mares.

See below: Pregnant women are known to dream. Both good and bad. Pregnancy is a time of expectation and hope. But also of concern. Then hormones seem to play a role also, but that is harder to pin point scientifically. Also relationships change in pregnancy and the pregnant mother is less able to do all the things she used to do for herself. If the bad dreams outweigh the good it is best to go to counseling.