It sounds like you are starting the first nightmare.Each of the Nightmares have a event that happens, the first is a multiball, triggered from a siccessful shot to the boiler room to start the game.
When you start the mode it is serving you a ball and not seeing that the 2nd ball was dispensed and serves a 3rd.
Check your shooterlane switch and trough
The multiball early 8n the game is normal however