Darkness. It was something Nyx liked - I mean, being the goddess of the night you had to like darkness, right? Traditionally, we associate darkness with the night, shadows and the deep abyss, but there's a more personal darkness...a mental darkness.
That's what Dallen's made from. The negative thoughts of the darkest parts of the brain, the most controlling parts. One stormy night, a group of demigods were traversing from their home in Ohio to Camp when they were cornered by a plethora of monsters. Watching on overhead, Nyx noticed that these were the same demigods that were efficient in their progress and each were trained perfectly. However, this time, they all stood motionless - confused as to what to do. It was then that Athena told Nyx that there was a darkness in their minds that were clouding all their judgements and movements. Together, Athena and Nyx created a spirit who'd be a physical form of the negative feelings. As Athena removed the thoughts, Nyx created a darkness spirit - thus, Dallen was created. Immediately, the demigods continued to be their efficient selves whereas Dallen was transported to Camp as soon as possible.