Have you ever had your dog try to burrow down under covers or try to dig a hole in his bed? The dog in the video below barks for his master to come wrap him up in his blanket so he can go to bed. According to Take the Lead, having a dog want to be covered in blankets or burrow into bedding is not uncommon. Since dogs are traditionally wild animals, they naturally seek shelter when they sleep whether sleeping in a cave or digging a hole in the ground to protect itself. The theory is that maybe the burrowing tendency of dogs comes from the need to feel safe. Take the Lead points out that among large dogs, huskies seem to have a great need to feel safe and tend to burrow the most.
Pet Education shares that many other things that dogs do are carry-overs from when they were wild. They urinate to scent their territory and bark to either warn off threats to themselves or to communicate with other dogs in their pack. This dog has learned that if he "asks" his master, he can get comfortably tucked in for the night. What people think of as "cute behavior" may be nothing more than your dog needing a "safe" place to curl up and go to sleep for the night.