Certain species of fairy require high levels of calcium in their diets. They typically dine on human teeth, and are particularly fond of baby teeth, which are shed painlessly by growing children.
However, in the depths of winter, these creatures often have to supplement their diet with finger-nail clippings too, and these are much harder to find. Occasionally a fairy will resort to eating finger-nails still attached to the hand.
If the fairies in your area are brought to such acts of desperation, you may be able to keep them at bay by putting a little milk in a saucer on the window sill. If this fails to satisfy their hunger pangs and the midnight attacks continue, you may have to call an exterminator.