So this question is interesting. It's not that I don't understand it, it's that I didn't expect anyone to want to know Nightmare's perspective(which will be looked at more in the next book), but here we go:
Essentially, Nightmare thinks of the bad sanses as his family. Killer has always been his second hand. This is because he's always imagined Killer as his sort of queen. He likes Killer, but is afraid of admitting it and being called weak.
Dust and Horror are like twins. They're strong together and think the same thing most of the time and Nightmare thinks of them as his oldest two children.
If you include Red in the bad Sanses, he's the middle child: often lost or forgotten by the siblings, but Nightmare never forgets him.
Finally, Cross. Cross is like the youngest child to Nightmare. He's the newest to the bad Sanses and doesn't quite understand everything. Nightmare imagines that, if Cross were to go with Dream, he'd lose his youngest permanently, and no one wants to lose their most innocent child. Not when he can barely defend himself against the middle child(I'm not calling Cross weak, but Fell has a lot of anger that he pushes into his magic while Cross is mostly confused and just ttying his best).
There. That's Nightmare's side of why he didn't want Cross to leave.
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De TodoThis is a book for my finding love series or whatever it is cause I honestly don't know. Anyway, feel free to take a look amd even ask a question or two.