Hey if you didn't solve this yet, I had a similar issue. When I started my Nightmare playthrough on single player mode, just after the opening intro my trophies popped up.
Ok, I just did what you've just said (and by the way, I've actually finished all of the wasteland legends both in normal and nightmare modes) started a new gameplay on Nightmare...unfortunately, no trophy came out after the opening intro for me.
edit: It seems that i missed the last 3 mission wherein you have to scroll down to get extermination, grab and go and a new toy. Anyway, after doin' them the trophy popped
