What most ponies don't know is that Prince Thunder Bright, third-in-line to be ruler of Equestria, has a sibling. A sister, to be precise.
Originally, Twilight and Flash didn't want to have any kids. At the time, they both had been too busy for a child- but they still had one. The doctor who delivered this baby, also an Alicorn, was forced to shut up about it. The circumstances where something that he doesn't want to think about.
So, Princess Twilight Sparkle brought her newborn to Zecora in the Everfree, and the baby Alicorn, who was now in her early twenties, hid nearby in the wood when anyone came to visit the zebra- although, she knew all about her parents and brother.
Of course, she was jealous.
The mare was almost a copy of her mother. She had a mane that always flowed in some non-existent wind, and it was exactly the color of Twilight's, too- The outlines of it where light indigo, and the insides where hot pink and a dawn-dusk hue of orange, with bits of white that where meant to mimic stars. Her coat was pale pink-purple, but not exactly lavender, and her eyes where dark blue, as well as the tips of her long, regal wings.
One day, the Alicorn (Twilight Dawn) decided she would go out and take a walk in the Everfree. If something attacked her, she could fly away or fight with her magic. Zecora was about to say something before she left the small hut, but Dawn shut the door before she could listen to a word of it. All the non-Princess ever heard were rhymes- she wished that there could be a change for once. Something... different. Someone else.
I wish I had a sibling, Dawn thought suddenly.
"You do," she answered herself out loud. Not that it mattered, as she was already far away from her home/hut. Suddenly, she heard something from behind. Turning around, the Alicorn started charging a magical beam, her horn surrounded with a light pink magic.
"It's okay," someone said, "I'm on your side."
Although for most unicorns, it is very hard to stop after you have began to charge any magi that is primarily used for an attack, Dawn did so with ease (she was better at her arcane tricks then her Mother and Brother combined).
She asked suddenly, "Who are you?"
"I'm the Nightmare... but I'm sure you know who that is."
Dawn nodded shakily, and began charging her attack once more.
"Stop!" the voice gasped, "I can help you!"
The Alicorn stopped once more, "How?"
"If you let me become part of you, let us act as one, I can help you get what you've always wanted."
"How do you know what I want?" Dawn growled.
"Revenge."
"Huh?"
"You want revenge on everybody. No one knows who you are, even though you are the rightful ruler of Equestria- not Celestia or Luna. Or even Twilight- not Cadence, for that matter. Not even your stupid brother, Thunder Bright. The rightful ruler of Equestria is you- and I can help make that happen," the Nightmare said, revealing herself. She looked like nightmare moon, but was formed of green mist and was a pure unicorn. "All you need to do," she continued, "Is help me out, first."

EARLIER THAT DAY...

The Nightmare slid slowly through the underground tunnels, careful not to make any noise. It was very hard for her, because when she moved, there was usually a small hissing sound. But she contained the noise so it was to quiet for even a Batpony to hear. That was when he found what she was looking for.
A piece (not even that, just a sliver,) of Thunder's jean jacket had fallen off when he landed on the ground, after teleporting them to New York. The whole jacket would've been better- but this was all the Nightmare had, and what she would have to use. Although her magic wasn't very strong, she could still preform a small amount of strong spells- this was one of those. The piece of denim lifted into the air, glowing green- but slowly, an orange aura leaked out of it and surrounded the mist that Nightmare was. The denim disappeared, deteriorated- there are lots of words to describe it. But, mostly, it was gone- no longer having any existence anywhere. Too bad for our heroes and heroines, that didn't happen to the Nightmare. No, she was transported to Equestria, and she knew who her target was, and where she was, too.
It was time to get a new host- and she knew she could tempt this one. The ones who wanted to be taken over where easier.
Her new body will be shared with "Princess" Twilight Dawn.