Mazie is a burrower! When we got her (at nine months) her previous owner told us that she liked to sleep with her head under her blanket.
When she started sleeping with us, she soon wanted to sleep under our blankets, too. I'm not thrilled with her being under ALL of them, as I feel it's too heavy and "close". But the comforter on top is light enough that I don't feel like I have to worry about her smothering if she just goes under that.
She has become quite adept at jumping on the bed, running to the head of it, flipping up the edge of the comforter with her nose, and then tunneling down to our feet where she likes to sleep.