If both the 1A quest card and the nightmare card have the setup text which happens first? In some scenarios it doesn't make sense to have the nightmare set up come first. However, in some scenarios it doesn't make sense for the 1A quest card set up to come first.
Nightmare Encounter at Amon Din (Example for Nightmare set up coming first not making sense)
Nightmare Set Up instructs players to place 1 villager token on Rescued Villagers (this cannot exist unless players have already completed the setup on the 1A quest card).
Nightmare Assault on Osgiliath (Example of 1A quest card set up coming first not making sense)
Nightmare Set Up instructs the players to add Palace Remains (a unique location to the staging area). However, the setup on the 1A quest card instructs the players to search the encounter deck for unique location(s) so if you resolve the 1A quest card first you can pull the Palace Remains out first as one of your unique locations basically negating the impact of the Nightmare set up card. But it seems the intent is to have Palace Remains + additional unique locations depending on the number of players.