If the effect is the regular Drain Life, it should reflect from shields, for continuity. Explain the difference of the Drain Life from the spell card and this one to players.
You canĀ“t damage yourself this way.
With Drain Life, you target the player directly, so it is reflected by shields, but with the buffed Nightmare, you target a creature, and since it doesn't target the player directly, it isn't reflected. It's the same as if you were to target yourself with Drain Life while having a reflective shield. It would reflect the spell back at the target, and because it doesn't target them directly, it isn't reflected.