Can weaning off anxiety medication cause nightmares?

Yes: This is called "rem rebound". Dreaming mostly happens during rem (rapid eye movement) sleep, and rem is suppressed by many anxiety medications. Weaning off such meds results in a temporary over-activity of rem, sometimes causing nightmares, or at least more memorable, vivid dreams. It usually doesn't last long, and is harmless aside from being disturbing & interrupting sleep.