Ours like to burrow sometimes too. This may sound strange but we were watching some show on Chis one day and some people seem to think they are distantly related to foxes. I have no idea if it's accurate but it would explain why chis burrow like they do--not to mention the ears they have.
Thats too cute. My Napoleon likes to dig at the covers and burrow himself under pillows as well. I thought I lost him once, he burried himself and was napping. I couldnt find him, and since the pillows were on either side of his ears...he couldnt hear me.
As for Chi's being related to foxes....homework time !
Google Fennec Fox and look at the images, youll see the similarities...