Does your dog like to burrow under the covers? There is actually an explanation of why according to an MSN.com article in their dog central section.
Dogs are denning animals, they love small spaces. In the same way that humans like to fluff up their pillows before settling in for the night, some dogs like to create comfy beds and hide under clothes and sheets to make themselves feel safe, warm and comfortable. All breeds may do this, but terriers, hounds and huskies are more predisposed to burrowing than others.
There’s no downside or risk to letting your dog burrow, unless you don’t want dog hair under the covers. A separate dog bed might be handy to keep the hair out of yours. An additional bonus of your dog having the instinct to burrow is that it can make crate training easier, since being in a crate can mimic that denlike environment.
So the next the time your dog wants to get under your covers, just know that she's just trying to find a safe place to sleep.