Ha, Thor does this too. It's a little different in the morning. He'll sleep near my feet at night, but when I kind of wake up and turn over in the morning, he takes that as a signal to walk up to my pillow and curl up there. So my last few hours of sleep, my nose is full of yorkie fur. I like it though.
Seriously, my advice is to wait a few months and see if it grows on you.
It is a very affectionate gesture. Your yorkie just wants you to know how much he loves you.