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Nyx is a nearby, prograde, and high-eccentricity stellar stream physically contained in the thick disk but with an unknown origin. Nyx could be the remnant of a disrupted dwarf galaxy, in which case the associated dark matter substructure could affect terrestrial dark matter direct detection experiments. Alternatively, Nyx could be a signature of the Milky Way's disk formation and evolution. To determine the origin of Nyx, we obtained high-resolution spectroscopy of 34 Nyx stars using Keck/HIRES and Magellan/MIKE. A differential chemical abundance analysis shows that most Nyx stars reside in a metal-rich ($\mbox{[Fe/H]} > -1$) high-$α$ component that is chemically indistinguishable from the thick disk. This rules out an originally suggested scenario that Nyx is the remnant of a single massive dwarf galaxy merger. However, we also identify five substantially more metal-poor stars ($\mbox{[Fe/H]} \sim -2.0$) that have chemical abundances similar to the metal-weak thick disk. It remains unclear how stars chemically identical to the thick disk can be on such prograde, high-eccentricity orbits. We suggest two most likely scenarios: that Nyx is the result of an early minor dwarf galaxy merger or that it is a record of the early spin-up of the Milky Way disk -- although neither perfectly reproduces the chemodynamic observations. The most likely formation scenarios suggest that future spectroscopic surveys should find Nyx-like structures outside of the Solar Neighborhood.