This happens to me a lot during normal dreams (since I don't really have nightmares). I have a feeling that it has to do with short-term memory...perhaps because an average person's short-term memory is only 30 seconds, you'll have a better chance of continuing the dream where you left off if you fall back asleep in less than 30 seconds, which is basically when the dream is most fresh in your mind.

If you stay awake for longer than your short-term memory - without making a conscious effort to remember what you were dreaming about - and then go back to sleep, you might forget it and move on to another dream.

Keep in mind that this is all my own speculation on the matter, and is a totally groundless theory, but...it's all I can think of. Next time you wake up from a nightmare or unpleasant dream, try making an effort to stay awake a little bit longer (without trying to remember what happened in the dream) before falling back asleep.