I have a theory about Nyxmay: from the things the small fairy in her dreams said to the mc, saying that "he is alive", it makes me think that the souls of those fairies are living inside of Nyxmay, and in her dreams Nyxmay can interact with them.
To be more clear, put it like this: let's say that for a week Nyxmay relives the exact same memories while sleeping, what should cause that her dreams during that week would be identical. But since the souls of the fairies are inside her, she can talk with them and viceversa during the dream, causing that every dream becomes different even if they evoke the exact same memories.