Cuando tengo una pesadilla, me despierto en plena madrugada y me cuesta volver a dormir.

Cuando can take either the indicative or the subjunctive, depending on the meaning:

• Indicative (tengo): for habitual actions, things that regularly happen, or things seen as facts.

  • Cuando tengo una pesadilla, me despierto…
    = Every time I have a nightmare, this is what happens.

• Subjunctive (tenga): for future or hypothetical events, not seen as a regular fact.

  • Cuando tenga una pesadilla, te lo contaré.
    = The next time I have a nightmare (in the future), I’ll tell you.

In your sentence, we are describing a habit, so tengo (present indicative) is correct.

Spanish normally uses despertarse (reflexive) for to wake up:

• Me despierto = I wake up (I myself wake up).
• Te despiertas = You wake up.
• Se despierta = He/She wakes up.

The non‑reflexive despertar usually means to wake someone up:

• Despierto a mi hermano a las siete. = I wake my brother up at seven.

So in your sentence, me despierto is reflexive because the subject and the person waking up are the same: I wake (myself) up.

• madrugada is the time in the very early morning, roughly from after midnight until around sunrise.
• plena comes from pleno/plena, meaning full, right in the middle of.

So:

• en la madrugada = in the early hours / during the early morning.
• en plena madrugada = right in the (very) middle of the early hours, emphasising that it is fully that time (e.g. 3–4 a.m.), not just a bit late at night.

plena agrees in gender and number with madrugada (feminine singular), hence plena madrugada.

Costar literally means to cost, but in this structure it means to be difficult:

• Me cuesta volver a dormir.
  Literally: It costs me to go back to sleep.
  Natural English: I find it hard to fall back asleep. / It’s hard for me to get back to sleep.

Components:

• cuesta = it costs / it is hard (3rd person singular, referring to the action).
• me = to me / for me (indirect object pronoun).
• volver a dormir = to go back to sleep (the action that is difficult).

Similar patterns:

• Me cuesta entender esto. = I find it hard to understand this.
• Te cuesta levantarte temprano. = You find it hard to get up early.

So me here is not reflexive; it is an indirect object: difficult to me.

In Spanish, when volver means to do something again, it normally uses the structure:

volver + a + infinitive

So:

• volver a dormir = to sleep again / to go back to sleep.
• volver a llamar = to call again.
• volver a intentarlo = to try again.

Without a, volver usually means just to return / to come back (to a place):

• Vuelvo a casa. = I go back home.

In your sentence, we’re talking about doing the action again, so we need volver a + dormir.

Yes, you could say:

• Me cuesta dormirme otra vez.
  = It’s hard for me to fall asleep again.

Differences in nuance:

• volver a dormir: neutral, very common in Spain; literally sleep again / go back to sleep.
• dormirme otra vez: has a slightly stronger focus on the process of falling asleep again (because of dormirse = to fall asleep).

Both are natural; me cuesta volver a dormir is particularly idiomatic and concise.

The me is doing different grammatical jobs:

1. Me despierto

   • Verb: despertarse (reflexive)
   • me = reflexive pronoun (myself).
   • Meaning: I wake up (I am the one who wakes, and it's done to myself).

2. Me cuesta volver a dormir

   • Verb: costar (not reflexive here).
   • me = indirect object pronoun (to me / for me).
   • Meaning: It is difficult for me to go back to sleep.

So:

• In me despierto, me = myself.
• In me cuesta, me = to/for me.

No, madrugada is more specific:

• noche = night (broadly, when it’s dark, evening + night).
• madrugada = the very early hours of the morning, after midnight and before dawn/sunrise.
  Think 1–5 a.m. (approx.), depending on context.

So:

• a medianoche = at midnight.
• de madrugada = in the small hours / early hours of the morning.
• en plena madrugada = right in the middle of those early hours (e.g. 3 a.m.).

Spanish makes a clearer distinction here than everyday English usually does.

Yes, you can say:

• Me despierto de madrugada.
• Me despierto en la madrugada.

These both mean I wake up in the early hours.

Adding en plena adds emphasis:

• en plena madrugada = right in the middle of the early hours, a bit more expressive or dramatic.

So the basic meaning is the same, but en plena intensifies it.

In Spanish, with countable nouns like pesadilla (nightmare), you generally use an article when you mean one instance:

• Tengo una pesadilla. = I have a (single) nightmare.
• Tuve una pesadilla anoche. = I had a nightmare last night.

Without the article, pesadilla would sound more like a non‑count or generic idea (which is not natural here). So:

• Cuando tengo una pesadilla… is the natural way to say When I have a nightmare…
• Cuando tengo pesadilla… sounds incomplete/odd to native speakers.

Spanish uses the present tense for:

• General truths and habits, just like in English.

Examples:

• Cuando estoy nervioso, no duermo bien. = When I’m nervous, I don’t sleep well.
• Siempre que llueve, me quedo en casa. = Whenever it rains, I stay home.

So in your sentence:

• Cuando tengo una pesadilla, me despierto…
  uses the present to express a habitual sequence:
  Whenever I have a nightmare, what happens is that I wake up…

No special tense is needed; the ordinary present covers repeated actions.

Yes, that’s grammatically correct and natural:

• Cuando tengo una pesadilla, me despierto en plena madrugada.
• Me despierto en plena madrugada cuando tengo una pesadilla.

Both are fine. The difference is just which part you foreground:

• Starting with Cuando tengo una pesadilla… emphasises the condition/situation.
• Starting with Me despierto en plena madrugada… emphasises the resulting action.

In everyday speech, both orders are used; the original one just slightly highlights the nightmare as the trigger.

Both can appear, but there is a nuance:

• volver a dormir

  • Literally to sleep again.
  • Implicit subject: yo (I).
  • Very standard and enough in this context:
    Me cuesta volver a dormir. = I find it hard to get back to sleep.

• volver a dormirme

  • Uses dormirse (to fall asleep) with reflexive me.
  • Focuses more on the process of falling asleep again:
    Me cuesta volver a dormirme. = It’s hard for me to fall asleep again.

In everyday Peninsular Spanish, me cuesta volver a dormir is extremely common and completely natural; volver a dormirme is also correct but slightly more process‑oriented in feel.