Joe,
I have always taken the "D" to refer to the stage of insect, but do recognize the redundancy and, actually, contradiction; i.e., PMD nymph as you mention.
This is something explained on a great site: Troutnut.com:
Duns: Mayflies have two adult stages. They first emerge from the water as duns (scientifically known as the subimago stage). They then molt into the spinner (imago) stage, in which they mate and die. Sometimes the word "dun" is confusingly used to refer to a brownish gray color in fly tying materials.