Thank you SC!
I did a little research the other day and it turns out that Zoloft itself appears to be the "nightmare" drug. Apparently there are numerous reports of Zoloft inducing very vivid, real - even lucid dreams, a lot of them being nightmares.
It seems to be more like the counter-action of the cyproheptadine is counteracting the Zoloft enough just to put me into the nightmare phase again. Coming off the steroids tomorrow so we'll see if there's any change, but I'm pretty sure this has to do with the interplay between the cyp and the Zoloft.