Roxanne was created by Ann Nocenti and Joe Bennett in 1994 and first appeared in Nightmare # 1.
The early life of Roxanne remains unrecorded, though it is hinted to include years of abuse. Her father was violent with her. Although its unclear if the abuse only involved physical beatings or sexual abuse. She attended a Catholic school of some kind.
As an adult, the beautiful Roxanne became an actress, specializing in horror films. She played vampires and other horror figures, making an impression on the public consciousness. She was the protagonists in the nightmares of many of the viewers, something which brought her to the attention of Nightmare himself.
Deciding to meet Roxanne in person, Nightmare used his human guise of "Edvard Haberdash". He was sufficiently fascinated to ask her on a date. They shared their first kiss in a funhouse. Not long after, Roxanne started having nightmares about "Edvard" killing her. She kept this hidden, but her co-workers also found the man creepy. She considered leaving him, but changed her mind when she saw the generosity of "Edvard" when it came to charity.
Roxanne came to realize there was a lot a mystery around "Edvard". She pressed him to open up to her. He replied by demonstrating part of his powers, without revealing his true name and nature. She felt both intrigued and scare of him. Roxanne opened up to him and confessed about her own abusive past. But she found "Edvard" taking sadistic pleasure at her narrative. She decided to quickly end the relationship. But "Edvard" had no intention of leaving her life. He had become the new partner of film producer Lucre, her current boss, and also started stalking her.
Her business relationship with Lucre soon took a turn for the worse, and Roxanne also found herself tormented by monsters and hallucinations. All the work of "Edvard" who wanted to possess her. He forcibly took her to the Nightmare Club, his new business and started exposing his love interest to her worst nightmares. At this point several demonic enemies of Nightmare located him and started to attack. She realized that she needed his protection during the fight. Agreeing to become his girlfriend.
With the fight over and the enemies vanquished, Roxanne was realized that she was stuck in a very-real role. That of the current lover to an obsessed man who would never let her go. He promised that he would set her free if she ever asked to leave, but Roxanne read between the lines that he was promising her the freedom of death.
At a later point (Over the Edge #7),Roxanne acted as the co-hostess of the Nightmare Club. When Dr. Strange visited the Club for a meeting with "Edvard", Roxanne recognized the tension between the two men. Recognizing that the two were never friends.
Roxanne has no superhuman powers. She has however demonstrated decent unarmed combat moves, including high-flying kicks sufficient to deal with a number of "Edvard"'s pet monsters.