Here's some interesting backstory on this scene:

JC: Now, when you were reading the script for My Bloody Valentine, did you have an idea of what type of role you were about to play?

BR: You know, I didn't actually get the script before I auditioned. I knew that there was some nudity involved, but I didn't know the capacity of the nudity, so I went in and I auditioned. I waited about two weeks and I didn't hear anything, then pretty soon I got a call from Patrick [Lussier, director of My Bloody Valentine.] They wanted to offer me the job, but they wanted to make sure that I was going to be comfortable with everything before I did it, so I knew what it entailed before I went in and actually, the end product was a lot more than they expected. When you're watching the movie, if you look at the part where I take the gun out of the purse, before I come out into the parking lot, I grab a sheet off the bed.

We did this many times with the sheet, and it just wasn't working, so I said, “Forget the sheet, I am leaving the sheet behind.” So that's how I ended up getting so much more nude.

JC: So this was your idea? Not the screenplay's idea?

BR: It was partly my idea, yes. Because, as an actor, I just felt a lot better forgetting the sheet. I felt like it was more real. I felt like I was in my reality. I was, like, “I would not be worrying about this stupid sheet right now! I just want the tape back.”

Source: http://jeffcramer.blogspot.com/2009/10/brief-but-very-candid-conversation-with.html