Hiding while she sleeps

My daughter is going through a phase where she wants to hide when she goes to bed. She will grab her blanket or pillow and try to hide her head from whatever imaginary character is in the room (or just dad). She does this now when she first is put to bed and at anytime later. It seems cute and sometimes fun but it freaks me out.
I’m not overly protective nor I am really all that gentle with her. I rough house with her and even let get her bumps (despite the heart attacks it gives me). But I have this innate fear that somehow by putting her head under her blanket or pillow she will smother. I don’t know if I am being rational but my frequent checks on her while she is sleeping have increased since she started.
Every night I check on her by placing my hand on her tummy or back, feeling the rhythm of her breathing. It’s always a beautiful moment watching her sleep. Now I keep pulling the pillow and blankets of her head, with her sometimes fighting with me even when she is asleep.