That is so cute ! My Abby burrows all the time. I have had a lot of cats in my lifetime and she is the first that has ever done it. My Dh thinks she is a dog in a cat suit. This morning she was stuck in my king size chenille spread. Not sure how she got in, but she couldn't figure out how to get out. It was on the bed, but in a pile not spread out yet. I had just washed and dried it. She didn't seem to be in a panic, but she did look happy when I got her out.
She does like to sleep under the covers at night, and I am fine with it as long as she is still. But she does sometimes seem to think she is a spelunking under there and that is not good, LOL. I often put a quilt over myself when I'm watching tv and I often flip the top over. She thinks I do that special for her, so she can lay on my chest and stick her head under the flopped over part. Silly girl.