some hedgies like to dig. The paper towels could be new to him, so new thing combined with him wanting to dig, and there you go. You could something else in his litter box, news, or a bedding product like carefresh, fresh world, etc. He will still probably dig, but it might not be as noisey to you.
Some of us offer a dig box, which has fleece scraps in it for our hedgies digging pleasure. Some hedgehogs are diggers. You could also get a hedgie hat, being under it might help.
The hats can be bought here: http://quillsnthings.webs.com/accessoriesforsale.htm