What's crazy about it, exactly? I'm not disputing it (yet — I haven't formed an opinion of the actual practice of sleeping with a gun under the pillow). I'm just curious about it.
I, personally, wouldn't sleep with a gun under my pillow on a regular basis, if for no other reason than the simple fact that it would probably cause me to wake up with a sore ear and a stiff neck in the morning. I'm not sure that I see any "craziness" in the idea to a degree that justifies the colloquial meaning of the term, though. Maybe I just haven't thought about it enough.