I had recurring nightmares as a child, mostly in the form of "chase dreams" where someone or something was chasing me. Depending on my age the chaser could be a monster, Bigfoot, a wild animal (lions, sharks, etc.) or a scary man with a gun. What we did to stop it, and it did GREATLY reduce the occurence, was add one little thing to my bedtime routine. When my Dad would say good night, he would say "sweet dreams". I was older than your daughter when we started this, but it became so much of a routine, and something I really relied on to ward off the nightmares, that I had a hard time falling asleep if my dad wasn't around to say it. I also turned this into a mantra for myself, repeating in my mind, "sweet dreams, A., or no dreams at all" over and over as I was trying to fall asleep.
I agree that nightmares are not something that a child can "cry out". All kids will have some nightmares, but some do seem to have more than others. I don't think I'd focus as much on the doors and windows being locked as I would the fact that you are there to protect her (unless she seems to really respond to it). Locks are kind of an obscure concept for a little kid, and there's the magic of Santa Claus - he can get in, so someone else may be able to also. With prayer, choose your words wisely, asking God to watch over and protect and bless you is one thing, but the rote prayer, "Now I lay me down to sleep..." very ordinary and second nature to adults, can be terrifying to a little kid ("if I should die before I wake...")
I wouldn't rule out counseling, more as a means of finding ways to conquer your daughter's anxiety and find tricks to help her not have nightmares, than to find one true cause. But, I would try incorporating some kind of special routine to ward the dreams off first, just stick to it! You could buy her a dream catcher, draw a "no fat man" symbol to hang on her door and windows, or try the "sweet dreams" code. Just give her the sense that this special thing will ward off her dreams, and say it like you believe it with your whole being, something you are excited about that will work before she goes to sleep (not something you are trying in the middle of the night out of desperation and exhaustion AFTER the dream has occurred).
Good luck!