The Messenger of Allah (ﷺ) would not pray in our wrappers or in our quilts.

Ubaydullah said: My father (Mu'adh) doubted this.
Sunan Abi Dawud Book 1, Hadith 367
← Previous Hadith Mu'awiyah ibn AbuSufyan asked his sister Umm Habibah, the wife of the Prophet (ﷺ): Would the apostle of Allah (ﷺ) pray in the clothe in which he had an intercourse? She said: Yes, when he would not see any impurity in it.

Sunan Abi Dawud Book 1, Hadith 366 Next Hadith → The Prophet (ﷺ) would not in our quilts. Hammad said: I heard Sa'id b. Abi Sadaqah say: I asked Muhammad (b. Sirin) about it. He did not narrate it to me, but said: I heard it a long time ago and I do not know whom I heard it. I do not know whether I heard it from a trustworthy person or not. Make an inquiry about it.

Sunan Abi Dawud Book 1, Hadith 368