Finally!!!
A Japanese site has got a listing for a DVD release of the 1975 television special 'The Nightmare' -
CDJapan : Welcome To My Nightmare Special Edition Alice Cooper DVD
It would appear that the DVD features both the TV show and also the previously released concert film 'Welcome To My Nightmare'
Release date is noted as being August 30th, and although nothing is listed on Amazon, I would imagine this will get a region 2 release at some point