I suggest you define them in the way that best serves your game, your vision of Hyperborea.  I also acknowledge this does not really answer your question.  Chaosioum's "Dreamlands" supplement (page 32, 5th Ed, 2011) says they dwell in numerous warren-like caves near the tops of the hideous Peaks of Throk.

If I get them on random encounters, I just assume one managed to find its way in to Hyperborea somehow. But I generally assume it wants to carry off one intelligent victim and fly it *back* to the Black Gulf for an eternity of tickling torture.

Because they tickle. It is well known!

ThornPlutonius wrote:

...Chaosioum's "Dreamlands" supplement (page 32, 5th Ed, 2011) says they dwell in numerous warren-like caves near the tops of the hideous Peaks of Throk.

Thanks, ThornPlutonius! That helps me contextualize them a bit more.

Handy Haversack wrote:

If I get them on random encounters, I just assume one managed to find its way in to Hyperborea somehow. But I generally assume it wants to carry off one intelligent victim and fly it *back* to the Black Gulf for an eternity of tickling torture.

Because they tickle. It is well known!

Although, they seem to be averse to wetlands, lakes & rivers, forests, tundra and glaciers...yet dungeons and towns, the stuff of nightfall and nightmares, darkness and dread...I also see the link to fresh water but what keeps Night from the shadow of the trees?

In my games they just come down from the sky to grab a couple people and fly off with them.

Also, in our last game the players were following up on a rumour and it turns out if someone on a ship has a nightmare, they will be targeted by a Night Gaunt the following night (better wait it out somewhere safe ).