I have had the problems of being both too cold and too hot during my lifetime. I was always extremely cold when I was thin. Is you son thin? He may not have enough fat to keep him warm. Another time when I always covered my arms was when I was cutting on myself and didn't want anyone to know. Hopefully your son isn't doing that. It could even be a response to commands he hears, if he has auditory hallucinations. And yes, you may be right about feeling safe. He may feel that if he covers everything, he is protected.
You might suggest exercise as a way for him to warm up. Or drinking hot green tea, which is good for you.
Zyprexa made me gain a lot of weight at the same time I was going through menopause. So I am plenty warm/hot now, all the time!
Carolyn