It is advised by the Royal Society for Prevention of Accidents (RoSPA) that babies should not wear padded/bulky clothing or sleeping bags whilst in a car seat for safety purposes. You can keep your baby warm in the car by adjusting the temperature or placing a blanket over the straps once they are harnessed in.  

For more information and advice please see the RoSPA website. (https://www.rospa.com/lets-talk-about/2016/november/child-car-seats)