I have been having nightmares/dream that someone have been appearing. A black smokey one but was not able to see very well as I woke up. It occurred many times recently and I feel like someone has been watching me. There were times where I was sleeping and has woken up but couldn’t move. Felt like someone watched me that time too.
The protection that was given long time ago to me, my mom and sister has been getting lost so I think someone is messing up with me.
I wonder what it is that wants from me
[Moved to dreamwork as this is about dream interpretation. 
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Remembering that dreams are your subconscious thinking - everything passed through your subconscious first, which doesn’t speak language and can only communicate in symbols and “well it’s like this, sort of”…
So like I said in a similar post yesterday with unknown figures in dreams, this is most often your subconscious warning you that you are being approached by something. This one doesn’t sound like a parasitic attack at least, but I would run with your intuition that it feels like something is watching you.
It could be anything though, including something in the mundane world, like a coworker watching you that your subconscious has noticed and you consciously didn’t - spirits can be incarnate too. It could be prophetic of an event around the corner you have to be careful of. Or it could be a spirit, probably ore like a guide, as I think it would have tried an attack by now if it was going to.
You said “someone”, not “it”… Did you get the feeling like it was a human, either incarnate or a ghost? That could imply an ancestral guide, a ghost that wants your attention or an ascended.
There’s a book by Robert Moss called “Dreamgates” that contains techniques for going back into dreams in trance and continuing the dream under conscious control, so you can ask it. You can ask questions of every object in the entire dream, and a good question to ask is “what do you represent?”, to get out a translation of symbology to conscious mind understanding.