This really is a Grenzfall. Maybe because it is constructed with the past participle. Duden has the optional "eng" and a second "an" for non-human-snuggling:
das Kleid schmiegt sich dem Körper / [eng] an den Körper an
I would prefer:
Wenn ich nur jede Nacht eng an Euch angeschmiegt einschlafen könnte
This sounds a bit like child talk - but then that is a bit the idea.
Compare with "sneak up on someone", where you also have two prepositions. In German this could be:
Ich habe mich ganz leise an das Tier herangeschlichen.
Avoiding the doubling of an...an.
Duden main example is: sich an jemanden anschmiegen
(to snuggle up to somebody)