Aww, bless him! My lurcher, Sophie, is the complete opposite re: sleeping with a light on.
She uses her front leg to cover her eyes when she's trying to get to sleep. Our whippet did exactly the same thing, but we didn't know whether she'd taught him to do this. If the light is switched off, she doesn't do it. The only thing we can think of is that it helps to exclude the light...? Do all greys/ lurchers do this or is this a bit strange?
(Mind you, there's a lot to be said for an occasional lie down in a darkened room).