I have read that in the hanafi madhab women have to cover their head whilst sleeping.
Is there any hadith relating to this, and what is the reason.

All perfect praise be to Allah, The Lord of the Worlds. I testify that there is none worthy of worship except Allah, and that Muhammad, sallallaahu 'alayhi wa sallam, is His slave and Messenger.

We are not aware of any statement in the Hanafi School of jurisprudence or any other known Schools of jurisprudence that stipulates that a woman is obliged to wear Hijaab while sleeping, and we do not know of any Prophetic Hadeeth that is mentioned in this regard.

Allah knows best.