The very first scene of American Horror Story Season 6 claimed it was based on true events. Now, I'm not sure if that's actually legit, considering FX series Fargo says the same thing, but is definitely not. But, since the Roanoke Colony was a very real thing, I guess AHS: My Roanoke Nightmare means it's sorta based on a true story, but very loosely based, if I had to guess. Bustle did reach out to FX for comment on how much of Season 6 is true, but the network declined to comment.
I think it's pretty ingenious to not have called the season AHS: Roanoke, because that would have potentially forced it to just explore the real colony's mysterious disappearance and would have bound it too much to historical events. By doing My Roanoke Nightmare, the show gets to deal with fictional characters interacting with the real mystery. The Lost Colony of Roanoke's myth lore allows the setting to be spookily real, while the situations can be dramatized for effect.
It's unknown whether the season will focus just on Shelby and Matt's personal Roanoke nightmare, or if other stories and "nightmares" will be told as well. We'll just have to keep watching (and keep being frightened) to find out.