I would imagine that hedgehogs do have nightmares just like all us other critters. =P I never heard of them making sound as a reaction to those dreams though so it was really interesting to watch that video and hear those vocalizations. Really has me curious and wanting to know more.
I, too, and interested in seeing the x-ray if you happen to have it. I'd like to know more about what the hedgehog body is like underneath those quills and skin.