Merry Nightmare is a dream demon from the Dream World. She was cast out and now wants to find a way to return.
Having no memories of who she is Merry tried to make her way through our world with only her hat and a hope to dream herself home. But she is unable to achieve this so she constantly wanders the streets of Tokyo searching for dream demons to send her back to the Dream World. All the ones she has met have told her that its impossible to go home but she still tries anyways.
Merry has a strange ability to send dream demons back to the Dream World with her mighty punches, which is unheard of.