In Shin Megami Tensei II: Nocturne
In Persona 3
Nyx appears as the anthropomorphic personification of Death in Persona 3, where she is destined to bring The Fall. Nyx, however, lies in hibernation and can only be called by the appriser of Death, which happens to be the Arcana that was never meant to be, Death. When the Kirijo Group was experimenting on the Shadows, Mitsuru's grandfather, along with several scientist knew about the Fall, and willingly embraces it. However, Yukari's father declined, and destroyed the facilities and forcefully separate the thirteen Shadows. It is not until the Protagonist defeats the remaining twelve Shadows, rejuvenating and reawakening the final Shadow, Death.
Assuming the form of Ryoji Mochizuki, Death was responsible of summoning Nyx, and become the harbinger of the Fall. It is later revealed that Nyx herself is neither hostile nor malevolent, she was awakened from the sorrow, depression, and apathy of humankind, believing that humans were tired of living and thus, her duty to end their lives. During S.E.E.S' final confrontation with Nyx, she uses Ryoji's identity as her avatar, however, Ryoji somehow retained his consciousness, and fought against S.E.E.S.
After the protagonist manages to fend of the Avatar of Nyx, the Avatar shrugs the damage away, and proceeds to connect to Nyx's true body, the Moon. As she descends to earth, S.E.E.S was rendered immobilize, leaving only the Protagonist immune to her effect. Through the cheering of S.E.E.S and others' will to live, the protagonist ascends to the Moon and battle Nyx, where he uses his own body as the Great Seal, sealing Nyx away.
Persona 3 FES
Nyx was briefly mentioned in the playable epilogue of Persona 3: FES, namely the Answer. Upon returning to the time where the protagonist seals Nyx, it is revealed that the protagonist not only plans to seal Nyx away from humanity, but also Erebus, a manifestation of humanity's negative will and grief.