A full physical exam is helpful particularly focusing on ENT evaluation if there is a concern of OSA, abdominal exam if concern of constipation, neurologic exam for any underlying neurological concerns.
Ordering labs or extra tests is not recommended in this case.
This is usually not indicated in the evaluation of nightmares.
Consider a referral to a psychiatry or psychology if there is a concern of relevant anxiety, or regression in behaviors. Additionally, may need to consider evaluation for abuse or trauma. In some places this would include a specialized child abuse team. Nightmares related to a traumatic event usually begin to occur within 3 months.