Rico's Nightmare is the fourth nightmare in chronological order in The Bad Place. It features Rico running around naked in an unknown part of New Quack City during the day, with tanks trying to shoot him. To complete this, you must have the tank destroy the target fences in similar manner to in Lower East Quack.
Due to the numerous brown bears, scarcity of collectibles and length of this segment, making it to the end of the area can be somewhat challenging. As mentioned before, progressing through this area requires the use of the NQPD tanks to clear the fences to the alleyways. At each tank barricade are several brown bears and you must often be within their line of sight to reach the fence in each street. The alleyways, though mostly empty, do contain brown bears (and crocodiles that burst from inside fences in the Viggo's Revenge) you must contend with. Using the various dumpsters and garbage cans can provide cover in case you need it.
When reaching the end, the exit is indicated by an open doorway with part of the hotel displayed. Though it is the end of the area, there is a third fence nearby. The third fence does not have to be destroyed - it contains ammo and Pet Yums if you need it though.
If playing on Viggo's Revenge, this is one of the few locations where where you can obtain the elusive Flamethrower.
Rico's nightmare is having to deal with his former days in the war on a more serious scale. Due to his naked appearance it is also possible he is feeling guilty or ashamed which is quite possibly due to his earlier feat of shooting his own wife.