If you're going to do this as a day trip you need to consider the transport issue. The markets are best after 1700, when it will be dark and they are all lit up. That means you have to plan on a train that leaves with time to arrive at your lodging when you plan to be there.
Another thing, the main train station in Nuremberg is right across the street from the entrance to the Altstadt, and less than 15 minutes walk into the main Christmas Market in Lorenzplatz. There's a small market just to the left of the gate also, and the Kings Road (the route you take) is highly decorated. The Regensburg Bahnhof is a bit further from the market, you'll go through the park and usually they have booths set up there, and even further from the fest grounds.
Personally, if I had to choose, I'd take Nuremberg. Because it's bigger, there's more to do inside the city walls, and it's one of my favorite cities to walk at night, especially when it's decorated for the holidays.
Another place you may want to consider, not as big, but with a fantastic castle, very pretty old town, and good market that doesn't get the heavy tourist traffic, is Neuburg on the Donau. They have a Wienachtsmarkt and a Kristkindlemarkt, and a skating rink. Check the website, and the dates are different. https://www.neuburg-donau.de/leben/feste-maerkte-und-messen/neuburger-weihnacht