The Undead Nightmare map is the same as the normal campaign map
and includes all spots, towns, and gang hideouts. To answer your
question directly, here's a list:
Within New Austin are the towns of Armadillo, Plainview,
Thieves' Landing, Rathskeller Fork and the ghost town of
Tumbleweed. Also contained within this area are Ridgewood Farm,
MacFarlane's Ranch and the infamous Fort Mercer.
Within Nuevo Paraiso are the towns of Chuparosa, Escalera (The
secret area from undead nightmares is also under the mansion in
Escalera), the fortress of El Presidio , the nunnery of Las
Hermanas and the settlements of Agave Viejo , El Matadero,
Torquemada and Casa Madrugada.
West Elizabeth has The town of Blackwater (where John Marston
passes through in the first cut scene) lies on West Elizabeth's
eastern coast while the smaller Manzanita Post resides in Tall
Trees.