Start the first Nightmare level from Wolfenstein 3D. As soon as you wake up from a Nightmare, you will be able to go back to bed and enter the Nightmare again. After dying in the bonus level, you will wake up again in the bedroom you started the bonus level from. Hold to activate the bonus level, which corresponds to the chapter it was found in.
Walk up to the pillow on the bed to display a 'Nightmare' message. In each chapter, search for a secret room with an empty bed, a light, and a Wolfenstein 3D poster.
All nine levels from 'Episode 1: Escape From Wolfenstein' in Wolfenstein 3D are hidden in the nine Nightmare chapters in Wolfenstein: The Old Blood.
