You do, in fact, wake up when you suddenly cannot breathe.
Try this on your spouse/girlfriend by plugging their nose when they sleep. They'll wake up within 5 seconds. It is a natural process.
They, however, probably woke up to about 10 seconds of sheer, absolute terror... and then nothing. It was quick, and it was painless, if a bit horrifying for them.
You have to think of it this way... If there was a window, they would have jumped from it if they were awake/alert enough to do so. They were probably in/out of consciousness without even getting out of bed.
I feel terrible for the cleaning crew of the scene though. It's kind of unnerving to find a leg bone, peel up a rug that ends up just being burnt skin instead of a rug.