I don't have a big bedroom but have a window open in the house all the time (except very rare occasions when it's really freezing) including overnight. I rarely have the heating on though and if I do, not for long, just to warm things up - use a throw/hot water bottle if anything. I feel like I can't breathe as well without a window open - I can't do sauna's and steam rooms for the same reason - feel like I can't breath - maybe asthma related.
I also get out every day for some fresh air. It helps my chest.