You can sleep in a car with the windows closed as long as the engine is off and not running.
If it's cold out and you need heat you can run the engine for 10 to 20 minutes at a time to get the car warm and then turn the engine back off.
Always keep the engine off when asleep and never allow the engine to run when sleeping and if there is snow that could be blocking the tailpipe, make sure that any snow is away from the tailpipe and not blocking it.
If snow or something else is blocking the tailpipe it can cause the exhaust fumes to buildup under the car and inside the car and lead to death.
When sleeping in a car it's best to crack the windows or at least once window for a bit of ventilation.
Although of course if it's cold out you may need to close the windows.
If it's hot out you should always have the windows rolled down and park in the shade if possible as the inside of cars and vehicles can easily reach deadly temperatures when it's hot out.