You guys got great ideas and all regarding HNMs (I mean i'm not reading, I don't care about that), so great go ahead and continue the discussion, but-
Remember that Nidhogg himself is heavily tied to the Dragoon questline, so in a completely unrelated post to the whole HNM business, I don't think that Nidhogg will be one, but rather an instanced quest battle at the very tail end of the DRG quest, most probably the AF Weapon one.

I say this because from what I gather the name 'Nidhogg' was used by some somewhat famous XI HNM? And I have the feeling people are 100% sure it'll be the same thing here.