Its interesting that Nero dreamt about her mom while falling into Beast state which can either be:
1. Nero's mom plays a part in why Nero can become Beast (maybe have her drink corrupted grail when she was a kid? Hence her dislike toward Holy Grail)
2. It just her trauma resurfacing since that's how much her mom's presence toward her mind.
Regardless its also makes sense why Nero is affected with Caligula's NP since she is still a living human and thus doesn't have Migraine skill which gives mental debuff resistance (at least according to gameplay).