Thank you, everyone, for your input.
I think the reason it scares me under the covers is if the oxygen in the air under there isn't replenished, that's when I think smothering would ocurr. I remember when I was a child, I couldn't breathe very long under the covers without coming up for air. Once I had gotten her out of there a couple of times, she stayed out and I felt better for it. She does have her own blanket on the bed. I think maybe it was the novelty of it for her.
I am not afraid of the electric blanket, though. Although I have only had her for a couple of weeks, she is a year old and she hasn't peed on the couch where we were sleeping. As a matter of fact, she hasn't peed in the den where we spend most of our time. Just in all the other areas.
ALL the other areas.