I do not have a lot of experience, but if she wants to sleep somewhere other than her designated bed, why the **** not?!
Think of a two year old that wants to sleep sideways on the bed instead of the "proper way"- certainly not a reason to take the child to the doctor, they are just being themselves!
She feels secure enough in her cage to sleep outside of it... I would think that is a very good thing!

 

Hedgies switch up their sleeping area a lot. Especially since she's still getting used to her new environment. Do you have any sort of cozy sack, blanket, or t-shirt in her hide? Making her hide extra burrow-y could entice her to sleep there. Also, is her whole cage heated at the same temperature, or are areas warmer than others? Sometimes a hedgie will sleep in warmer areas of the cage, or cooler areas if they find it too hot (some hedgies prefer cooler temperatures, like 73-75 degrees).

As long as her whole cage is heated, I wouldn't worry about her sleeping in random areas. When I first got my girl, she slept in her tunnels and dig box instead of her igloo. But she grew out of it and sleeps in her igloo now. Just give little Bee some time

 

She absolutely HATES snuggle sacks, shirts and anything like that. She won't put up with it. She's a weird one.

 

Penny hates snuggle sacks too! I sewed so many cute things that she hates!

 

My hedgehogs will suddenly decide that they want to sleep under their wheel or in a random corner of their cage. I think they do it just to mess with me.
So, to answer your question- it's normal.

 

Tinkerball sleeps in her cloth pile 99% of the time. However, sometimes just to mix things up, she'll sleep in her litter pan.

 

Loki has been sleeping in the open lately. Despite house, hedgie bag, and chunk of fleece he is usually found in a ball at the end of the cage. Granted he is a big hedgehog plus a bit overweight so he doesn't really fit in a normal hedgie bag. With so many hedgehogs we just heat the whole room to 78f so he shouldn't be hibernating. He just seems to have decided to sleep abnormally. Every now and then one of the younger ones also sleeps half in a PVC tube and half hanging out.

 

My guy does this sometimes, or he sticks his head out of his hide and sleeps like that. Interesting little guys aren't they?