It's easy getting the Nightmare Key, cuz I'm playing the old one, Zelda, Link's Awakening, the first one, on GameBoy, but then I put it in my brother's GameBoy Advance and it still works.
You have to get the Nightmare Key in Level 1 - Tail Cave, cuz I did loads of times.
You go straight, right, then straight, left, right, then straight again, defeat the creature, use the Roc's Feather, that you found before, turn left, press Left and A or B button, whichever you got the feather, you'll have to jump, then straight, then left and you see the box, open it and you'll get the Nightmare Key.
I hope you understand it!