Sleeping in a hot or cold temperature is challenging because your body is working hard to regulate internal temperature. When cold, a blanket helps the body regulate temperature and thus relax. When hot, then naked is the way for the same reasons.
The point is, the blanket is only helping your body reach a comfortable temperature. This said some people do claim to have an easier time falling asleep when covered by a blanket, due psychological factors is my Assumption.
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