I wouldn't call it a nightmare, but I posted this in the recent SCP dreams topic on the general forum:
In my dream, I was at a banquet of sorts, some kind of formal dinner. Maybe a wedding reception. It had that kind of vibe. However, I wasn't there for the wedding or whatever it was. I had this thought that "I need to find it before they do."
After a lot of searching, I sat down at a table. A young girl approached me. I said, "Hey, [name]." (I knew her name in the dream, but I don't remember what it was) I picked her up, sat her on my lap, and asked if she was enjoying the party. She seemed disinterested, and started making strange things happen. Like making objects float, drawing things on napkins and making them come to life, that sort of thing. I stood up and said, "Come on, [name], we need to get out of here."
As I approached the door, pulling the girl behind me, several men came in and locked the door in front of me. A quick look around showed that all of the doors were now guarded by similar men. I thought, "No, I can't let them take her!" One of the men stepped forward, grabbed the girl, and I woke up.
Nothing about the Foundation was explicitly stated, but to me, it seemed like I was trying to protect SCP-239 from being captured.