My husband regularly sleeps through sex, but he's the one who initiates it. I've woken up multiple times with his cock in one of my various orfices and him pumping away with the most blissful expression on his face, yet completely asleep. We've seen a sleep specialist who gives him pills to take, but sometimes he forgets. As a result, I make sure to lube up every "hole" before we go to bed.
Used to have a girlfriend who would sleep through anything and everything. Funny thing was sometimes she would wake extremely horney in the morning and complain that we didn't have much sex anymore. Guess its true that sex is really between your ears and not your legs as awake or not, the act went on most nights.