Can laying under a blanket in a hot room cause a fever

No, a fever infects your body when the virus gets into you. Overheating doesn't give you a fever, but having your body weak and exposed to germs may very easily get one.

Just make sure to stay hydrated if you are probably going to be sweating a lot :)

The best way is to swollow and hold in your breath

They probably don't understand either 1. what the nightmare is about or 2. his anxiety and stress