How do I start "The Nightmare" DLC mission (The Path of Fear)?

Solution 1:

I found this discussion on Steam that says The Nightmare doesn't unlock until you reach San Juan. I continued the main story, and as soon as I reached the first base camp in San Juan, I fast traveled back to the Skull Cave. Jonah and Uchu were there talking about scars, Jonah was identified as a mission giver, and I was able to start the mission.

Before that, I had completed both The Price of Survival and The Serpent's Heart. So the quests do not unlock in the order they're shown on the Path Skills screen.

Note: The skill you learn in The Path of Fear is an upgrade to a skill you don't get until just before reaching San Juan, which is why it doesn't unlock before that. (San Juan is the first place you can access fast travel after learning the necessary skill during the main story.)