Welcome to my Nightmare

I doubt that Dio did a cover version of that song, or any song, because he seems to prefer writing his own songs. The only time he actually sang cover songs were on stage. When he is doing a show with Tony Iommi, he would sing the older Black Sabbath songs originally done by ozzy, & perhaps Ian Gillan. He did sing old Deep Purple songs, but only on stage, when he was touring with Richie Blackmore during his time with Rainbow. I forgot what song it was, but Richie Blackmore originally wanted to re-do one of the old Deep Purple songs, but the rest of the band did not want to, & that was one of the main reasons he left Deep Purple & formed Rainbow. If he did redo that song, that would be one of the few works that Dio has not written or helped with writing himself. Other than that, he did sing Aerosmith's Dream On with Yngwie Malmsteen doing the guitars.

Never heard of this but then I'm not a Dio fan. It would be interesting to hear as I can't imagine anybody but Alice singing Welcome to my Nightmare. It is a strange choice for Dio as I would have thought there were other Alice songs that would have been better to cover for him.