Nightmare Princess first appears in the episode "Orb." While she is called a princess, she does not appear to have a specified kingdom, being seen only wandering the ocean surrounding Ooo.
Nightmare Princess appears throughout the episode, "Orb" as simply a cloud with a single eye. Once she is fully constructed, this cloud is shown to be her head. She wears a red dress with a yellow crown-like pattern on the abdomen. Her limbs are green with her right hand being a mantis claw and two bat wings protrude from either side of her head.
It is unknown whether or not this Nightmare Princess is the same one that appeared in Secret of the Nameless Kingdom. This Nightmare Princess appears very similar to the inhuman form the Nightmare Princess from Secret of the Nameless Kingdom takes in the final boss fight, however, Finn and Jake do not recognize her in "Orb", and she also appears to be mute, which she was not in Secret of the Nameless Kingdom. These facts are evidence for this either being a different Nightmare Princess, Secret of the Nameless Kingdom being non-canon, or it taking place in a different reality, similar to the comics.