I had and still do have this problem with both my older two.
My ds 1 is 6 and he wears the all in one jumpsuits, I got mine from Target , they have double blanket thick ones or thinner fleecy ones, they go up to a size 8.
My 12 yr old DD though is to big for those and still doesn't keep any covers on. We tried sleeping bags with her and she gets uncomfy and ends up out of it, but she is a real wriggle butt.
Only thing is to rug her up in warm p.js and socks...... she wakes up cold now though and will pull the covers on.

I would give the jumpsuits a go if you can get them to fit, otherwise give a sleeping bag a go