Should I be worrying dog sleeping under the covers?

If it's just the covers you are concerned of, that's fine. Some dogs love burrowing. TreeClimber's Terrier loves hiding under the covers. If Peanut had a chance to go under the covers, she probably would have taken advantage of it since she's a terrier.

Like what SweetBeast mentioned, unless you're heavy sleepers and her air gets cut off because she got partially rolled on, we don't see the problem in it.

If in case you're worried of this, you might want to train her to enjoy sleeping in a crate as some dogs love to feel secured in their own safe place. Your bed seems to be the safe place at the moment.