Tier 1: Find The Source of Khalid’s Nightmares
You will find it at (283, 486). When you arrive, you must close the Rift.
Tier 2: Find And Close The Next Nightmare Rift
You will find it at (299, 422). When you arrive, you must close the Rift.
Tier 3: Find And Close The Final Nightmare Rift
Avoid the enemies in the area if you can. They might be difficult for you to kill at this point in the game. It is extremely easy to outrun them.
You will find the final Nightmare Rift at (282, 371).
When you close the rift, you will be returned to the world of the living and you will have to defeat the Scourge of the Red Nights in order to finish the mission.