Nimue has been known in Arthur/Merlin stories as one of the names of the Lady of the Lake. She gave King Arthur his sword Excalibur, enchanted Merlin, and raised Lancelot after the death of his father. Nimue has been a love interest for Merlin in other shows/films.
In the scene where Merlin meets Nimue by the well, Merlin's apprentice is wearing the same clothes that Mickey wears in Fantasia (1940).
When Merlin and Nimue visit the ruins of Nimue's destroyed village, Merlin says "Sometimes the sole survivor of a tragedy can feel guilty. In the future they'll call it -" But he's interrupted by Nimue. He was most likely going to say "Survivor's Guilt" before he was cut off. Survivor's Guilt is exactly what Merlin says. It's the sensation that can sometimes happen when only one person (or a very small group of people) survive a horrible tragedy. This happens especially in cases when the victims of the tragedy are the survivor's loved ones.