Big sis Remilia is telling lil' Flandre the legend of the Strongest Ice Fairy and the Immortal Phoenix while their loyal maid butler covers them in a big blanket so they would stay all warm and cozy.
Although, I have but one question. But why are they still wearing their hats in bed?
soboro said: Didn't you know? Touhous die when you take their hat off.
The actual answer is fandom laziness :P Same thing with the characters wearing the same clothes over and over, even if ZUN makes a point of changing them from game to game and takes it easy when the illustrators of complementary materials come with alternative outfits.