Generally speaking, you can't save/load to change responses when the Nameless is involved, so that may not be a good suggestion.
(Edit: Apparently this suggestion is incorrect for this specific circumstance! Nevermind then.)
Not really, it only happened once, during your .. well.. 4th nightmare when you had to choose what your TRUE desire was. The warning text was in bold and red and you're stuck to that decision.
Afterwards at Plains of Death you can still choose different options, Nameless just tells you that he knows about your actions.
I said I wanted his dick and have sex with him and yet I'm still able to go back to that moment and refuse his intimate offer..