Try looking into pillow speakers. I don't like trying to sleep with headphones on, this was a good solution. It goes under your pillow and the one I had was almost impossible to hear if your ear wasn't on or very near the pillow. I used it with cotton and with feather pillows, but non with memory foam.
This one is closest to what I had that I can find on Amazon.
You could try something like this: https://www.amazon.com/Sangean-Pillow-3-5mm-Portable-Speaker/dp/B002O4I1PG/