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The reason why I wasn't even equipped with a damn Dream Heart was beyond me, but as Lucifer said, it might be because I qualify as a Nightmare in this world and somehow that's how the world, the world of this trial, has qualified me as?
Maybe I am developing a Nightmare Heart now or something… Or perhaps none of that. Although I've also realized that my ability to just regenerate Beatriz from just a head wasn't normal. Mana alone shouldn't be able to do that right?
So maybe since I entered this world that I gained some sort of "Nightmare" property, which might even also why that Nightmare Lord was tanking my blows as Nightmares seem to be naturally resistant to each other.
Anyways, we arrived at "my" house, and before she disappeared, I was fairly sure I saw her, the sister of the character I've become.