B C Z
When you draw a Nightmare card, you have to choose one of the following:
- Discard a Key card from your hand
- Place one of your gained Door cards in the Limbo pile
- Reveal the first 5 cards in the deck; if among the cards you reveal Door and/or Dream cards, these are placed into the Limbo pile; the remaining cards are discarded
- Discard your whole hand; in that case you must draw a new hand of 5 cards, and proceed as at the beginning of the game: draw cards until you have 5 Labyrinth cards in your hand, putting aside any Door and/or Dream card into the Limbo pile (the Dreams are not triggered, and you cannot obtain a Door card by discarding a Key card).
When the nightmare card has been resolved, discard it.
Doors go to Limbo, therefor you cannot obtain it with a key.
Otherwise, by the OP's logic, you would have to interact with and resolve any discovered nightmares as well.