Nose bleed during sleep can be due to dryness in the room because of using a dry heating system. It can also happen if you bump your nose during sleep. It is however advisable to see a doctor to find out if there are other causes and get the appropriate treatment.
I agree with lauraAT, I had a friend who as a young girl had this problem quite often. It was discovered that she had tiny veins in her nose that were too delicate and caused nosebleed. The doctor was able to cauterised them and her problem was fixed.