That’s right, many babies sleep with their eyes open, in medical terms it’s called nocturnal lagophthalmos and appears to be fairly common in babies. It mostly happens during REM (Rapid Eye Movement) sleep, babies spend approximately 50% of their sleep in REM, far longer than an adults 20%. A full understanding is hard to come by as there is very little research into why babies sleep with their eyes open, as no one is funding it.

If the sight of your little one’s unusual, sleeping stare concerns you, you can gently stroke their eyelids shut, once they have completely fallen asleep. Babies generally outgrow this by the time they are 18 months old and it is not considered a cause for concern or an indicator of harm, however in rare circumstances it can be an indication of something more serious, especially if they are older than 18 months.

http://www.jpedhc.org/article/S0891-5245%2803%2900150-0/