Only twice, at the end of SoulBlade and at the beginning of SoulCalibur II. I guess the reason why he's not playable in SoulCalibur II is because he started the game as Nightmare and didn't really get freed until SoulCalibur III. The canon events that happened that led to this (Raphael piercing Soul Edge's eye, then Siegfried finishing it off, forming the Soul Embrace with Soul Calibur) were not shown in SoulCalibur II, so in and of itself, from start to finish, Siegfried was Nightmare in SoulCalibur II. Compare SoulCalibur, where he starts the game as Nightmare and is freed (temporarily) by the end, as you see in the events of his Soul Chronicle in SoulCalibur VI. They came up with the storyline of his being Siegfried again between SoulCalibur II and SoulCalibur III.
Edit:
They were practically identical in SoulCalibur originally, with only a small handful of different moves. It wasn't until SoulCalibur III (appropriately enough, where Nightmare was no longer Siegfried) until their movesets were vastly differentiated. The opposite of SoulCalibur II was true of SoulBlade, where Nightmare was just an alternate costume for Siegfried (albeit in a different slot, technically).