Ok so I have no option from the steward in Dawnstar to ask for land. I've completed the nightmare quest in town but cant really remember what others I have done earlier. Any clues as to how I can get the plot?

You ask the Jarl, not the steward... ._.

Asked the steward in all other cities :/ But still..no luck with the jarl either

Have you been declared Thane? If not, try talking to the Jarl about helping the people.

Ahh, that may be a problem. Try becoming thane. If not, I dunno what to say :/ the Pale was the first house I got and I didn't have any problems.

Yes I'm already thane, so I'll just try doing some random jobs for the Jarl and see what happens then Thanks anyway

According to yonder wiki (UESP):

"You must complete the Daedric Quest Waking Nightmare and then the favor “Kill the Giant”. Please note that this favor has the prerequisites of being level 22 or higher, and having had previously completed the “Waking Nightmare” Daedric Quest"

And it is Skald/The current Jarl who you buy it from.