You regulate heat by a combination of vascular adjustments and sweating (evaporation is endothermic). Covers make sweating less efficient because it increases the ambient humidity near your body, making the sweat evaporate more slowly. You are also insulated by the bed and covers. This means that when your vasculature constricts, flushing your external capillaries with blood to throw off heat, your skin comes into less contact with circulating air.
Edit: insulated
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