He did have a blanket, but it blew off comically from his snoring.
Meet Apollo. Apollo is, apparently, a very well-drawn cartoon of an English Bulldog. That is the only logical reason why he could be snoring like this, although I don't really need a logical reason (actually, he's tuckered out from going to the beach). I just need to keep watching this on loop any time I get depressed or have trouble sleeping. All he's missing is a little thought bubble showing his dream about roasted ham.
Maybe Apollo could give Goofy some pointers on How To Sleep.