"Vecna seems to be actually intrigued by Nancy being able to figure him out, to be able to get this close to the truth... I think this is more Vecna's narcissistic traits that pull him to Nancy, why he wants to give her this information."
She narrowly evaded death each time, but it could eventually catch up to her. By targeting Nancy, Vecna would demonstrate that he's more frightening, intelligent and powerful than anyone initially assumed. She's easily the character who knows the most about him and understands fragments of how his mind works.
While intending to get his revenge on Eleven and Brenner, Vecna also goes after victims who have dealt with traumatizing experiences in the past (reminiscent of his childhood and his time at the Hawkins lab).
Patrick was targeted due to his father's abuse of him. Finally, Vecna targets Max for her trauma from witnessing Billy's death and uses Barb's (Shannon Purser) death as a way to use Nancy.
However, Nancy is freed by Vecna within the first five minutes of volume 2, with instructions for her to tell Eleven what he has planned for Hawkins. Nancy wakes up to see Steve and is never affected by the curse again, despite Max Mayfield (Sadie Sink) escaping Vecna only to again be attacked by him later on.
Realizing he had tremendous psychic power, he haunted his family with visions before ultimately killing most of them. His father was framed for the murders and locked away in a mental hospital as a disturbed serial killer. Henry then found himself in the care of Brenner, who decided he wanted more kids like the boy.
She Doesn't Have a Great Aim
After the Hawkins team develops a plan to defeat Vecna, Nancy is in charge to blow his head up with a shotgun. However, either she didn't have a great aim or she was trying to play it safe because she didn't hit him in the face even once, and that may be the reason why Vecna is still alive.
She breaks free, momentarily incapacitates Vecna, and runs with the determination to live toward her friends, dodging debris that Vecna throws in her path. Max hurls herself through the portal, awakes from the trance, and is held by Lucas (Caleb McLaughlin).
Vecna lives in the Upside Down and preys on people's past traumas and guilt. The monster curses its victims, making them relive their trauma in progressively more gruesome ways until it violently kills them.
Turns out, he needs exactly four dead kids, like the four chimes of his signature clock, as they are his necessary sacrifices in order to open enough small gates in Hawkins, so that he can create that earth-shattering gate in the final episode.
What was Chrissy's Trauma? Chrissy's life appears to be free from flaws on the surface, but in reality, she is struggling terribly to conceal her depression and self-image stemming. She was struggling with these issues, which resulted in her developing an eating disorder due to her mother's verbally abusive comments.
Vecna draws power from sad and angry memories and that is the main reason he targets traumatized teens. Those teens are a well of power just there to be absorbed. This is not just a theory, Vecna himself told Eleven about the power that angry and sad memories hold.
When One massacres the rest of the children in Hawkins Lab, Eleven banishes him to the Upside Down in the same way she banishes the Demogorgon from season one. One is sent hurtling through the Mind Flayer's lightning and is horribly disfigured, transforming into Vecna.
Instead of escaping Vecna's Mind Lair by hearing her favorite song, Nancy is actually released by Vecna himself. Her freedom comes with a price: He gives her a vision of his plans for Hawkins and tells her to pass that message on to Eleven (Millie Bobby Brown).
On March 26, Nancy Wheeler was pulled into the mindscape while trying to escape the Upside Down, and was terrorized by Vecna. The day after, the mindscape became a battleground in which Eleven and Vecna fought for the fate of Max, Hawkins and the world beyond.
The theory predicts that Vecna wants to regain his human form, and he will use Will to do so in Season 5. Knowing that Vecna singled out Will in Season 1, it's a reasonable theory, but it might go too far. After all, Vecna already has a human form, and he has vowed to eliminate humanity.
Vecna as a Means for Externalizing Trauma and Depression
Chaiken suggests that while Vecna is a source of horror in Stranger Things, the monster can also serve as a useful vessel for externalizing issues like trauma and depression.
Once he takes control of the mind, he traumatizes them by showing the visions of their dark past. He takes them to unknown places and gives them a glimpse of himself. The pain of his victims doesn't end here. Every single one of his victims experiences nose bleeding and severe headaches as well.
Unlike the reporters at the Hawkins Post, Fred treated Nancy with respect. Though Fred appeared to be bright and level-headed, he harbored extreme guilt for his role in the fatal 1985 car accident, and believed many people look at him as a "murderer." This guilt and mental unrest made him a target of Vecna.
As Vecna, he uses these mental abilities as a way to psychologically weaken and lure in his victims – much in a way that Pennywise, Freddie Kruger, and Pinhead do. (All of which have been cited by show creators the Duffer brothers as inspirations for the villain.) But he does have a surprising weakness: music.
After serving as bait for Vecna, she becomes his “final sacrifice,” getting her bones broken and losing her vision during a low point.
Vecna holds off Eleven long enough to brutally attack Max in his signature style—she levitates, her eyes go white and bleed, and he snaps her limbs. Eleven regains her strength and pushes Vecna off before he can complete the job, but the damage is already done.
Wheeler is Vecna's sister are pretty slim. While it's possible on a theoretical level, it would just be a really weird plot twist, even for Stranger Things. However, it's still odd that Mrs. Wheeler was the only side character with a poster.
In that campaign, the monster they face is the Thessalhydra, and there are several good reasons to believe that this is the creature that Nancy sees in her Vecna vision.
Nancy is also cursed by Vecna, although she is able to escape. Vecna picks Nancy because she is still devastated over Barb Holland's (Shannon Purser) controversial Stranger Things death in season 1.