Some people don't believe me but I swear Avery has had nightmares/dreams since she was just a few months old. She's scream really loud but by the time we'd get to her room she'd be sound asleep like nothing happened. If it was really bad she might cry for a minute but never open her eyes. One little hug and she'd be out again. It was like she never woke up.
If your baby screams while sleeping but doesn't actually wake up I'd say it was just a nightmare.