fjords-and-skerries:

During sleep, Norway has a habit of curling up to the far edge of the bed and rolling most of the blanket around him as he does so. It stems from the past, when he has to keep himself warm under the furs in cold, harsh winter nights.

However, that only applies to when he sleeps alone. If he does share a bed with someone whom he consider close, he will tend to unconsciously roll close to that person. Because he is used to sharing warmth with his brothers in the past, when it was necessary to live through winter.