The equivalent statement is: if $B_1 \subset B_2 \subset \ldots$ measurable with the complement of their union of measure $0$, does there exist a non-void open subset $U$ and $n$ such that $U\backslash B_n$ of measure $0$ ?
Not necessarily true. Here is a counterexample.
We can pass to the equivalent space $\{0,1\}^{\mathbb{N}}$ with the standard measure.
We know ( see normal numbers) that for almost all
$$x= (x_1, x_2, \ldots,)$$ we have (Borel's theorem)
$$\lim_{k\to \infty} \frac{\sum_{i=1}^k x_i}{k} = \frac{1}{2}$$
Let us define the Borel set
$$B_n = \{ (x_i) \ | \frac{ \sum_{i=1}^k x_i}{k} \ge \frac{1}{4} \textrm{ for all } k \ge n\}$$
(a closed subset in fact)
We have $B_1 \subset B_2 \subset \ldots$ and
$\cup_{n\ge 1} B_n $ has zero measure complement in $\{0,1\}^{\mathbb{N}}$.
Now, a basis for the topology of $\{0,1\}$ is given by subsets $J$ of $x=(x_i)$'s where finitely many of the components of $x$ are fixed. It is easy to see that for every such $J$, and $n\ge 0$, there exists $J'\subset J$ such that
$$J'\cap B_n= \emptyset$$
( say $J$ is all the $x$ with prescribed first $N$ components. Let $n\ge 0$. Now let $J'\subset J$ with enough $0$ prescribed components such that for all $x = (x_i)$ in $J'$ we have $\frac{\sum_{i=1}^k x_i}{k} \le \frac{1}{4}$ for some $k\ge n$. )
Therefore, no $B_n$ will contain an open subset (up to measure $0$).
Note: we showed that $\{0,1\}$ is the union of a meagre set and a set of measure $0$.
So our answer is very similar to the answer of @Daniel Schepler: . For an alternative answer, check this.