Vishen Lakhiani explains why you shouldn't wake up from a lucid nightmare. Recurring nightmares happen because waking interrupts your mind's internal therapy. Let the dream finish and it won't come back.
Chapters
If you are ever lucky enough to find yourself lucid in a nightmare again, don't wake up. Stay in the nightmare for as long as you can. Why do our nightmares recur? Why don't our happy dreams recur? Because in the moment, that dream was already integrated. It was a happy dream. I liked it. There was no need to have it again. But a nightmare. If you cut a nightmare short by waking up from it, or the nightmare waking you up from it, you necessarily have to have that nightmare again. Why? Because it is a therapy session cut short. The nightmare is your internal therapist. A nightmare is a sign of a healing mind. If you are having nightmares, you are not unspiritual, you are not pathologized. There's nothing wrong with you. It's a sign that your mind is doing what it is supposed to do.