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The Nightmare's Lore entry describes the creation of the monster:

Nightmares don't appear naturally in the multiverse. They must be created from pegasi. The ritual that creates a nightmare requires the torturous removal of a pegasus's wings, driving that noble creature to evil as it is transformed by dark magic

The Nightmare does not have wings any more, but it still has a fly speed of 90 feet, matching the Pegasus it once was. It has been created by dark magic. Does the flight count as magical for rules purposes like the falling rules?

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    \$\begingroup\$ In what way is this different to any non-winged flying creature in D&D, such as the beholder or alhoon? \$\endgroup\$
    – PJRZ
    Dec 1, 2022 at 8:43
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    \$\begingroup\$ @PJRZ Most other non-winged flying creatures have a "Hover" fly speed. There are only a few that have a normal fly speed but have no wings, and this one is somewhat special, as the creature used to fly with wings in its earlier life. \$\endgroup\$
    – Groody the Hobgoblin
    Dec 1, 2022 at 8:46

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Magic

And just to expand on this a bit. The Sage Advice points out that, in addition to "obvious" magical effects such as spells, there is also such a thing as "background magic". The distinction specified as:

  • the background magic that is part of the D&D multiverse’s physics and the physiology of many D&D creatures
  • the concentrated magical energy that is contained in a magic item or channeled to create a spell or other focused magical effect

So even though there is no spell of magical item involved, undead creatures can survive without food, air or indeed any kind of metabolism and "living" creatures can be made out of fire. And there are creatures that can fly without wings (or maybe with wings but with no regard to the laws of aerodynamics that must be adhered to in the real world).

Hence Nightmares can fly without wings.

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  • \$\begingroup\$ Good answer. It could be improved by concluding how this background magic interacts with falling rules, like asked in the now-edited question. \$\endgroup\$
    – Matthieu
    Dec 1, 2022 at 14:04
  • \$\begingroup\$ I think this is right, but its probaly the non "counts as magic" for fallling kind, the ambient kind? \$\endgroup\$
    – Groody the Hobgoblin
    Dec 2, 2022 at 16:16
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“Dark magic”

Magic is … magic. In this case, it’s also dark.

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