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As far as Zuko remembers, Azula's always visited him in his room.
One of his first clear memories is of such a visitation. His bedroom consists mostly of empty space, rich in terms of the quality of its decor, but sparse in the actual furnishings themselves. Zuko would gradually grow into the room, become accustomed to and even find solace in its simplicity when his own tangled thoughts crowded his mind, but at the tender age of five the room hid in its corners the shadows of wide-eyed monsters with long sharp teeth that Zuko was utterly convinced would eat him come nightfall. Oh, he was safe so long as his head and toes were completely covered under his blankets, but what if he kicked them off in his sleep? What then?
He tells his mother of his very legitimate concerns, of course, and of course she tells him that he would always be safe so long as she is there to protect him. She also tells him to count koala sheep until he falls asleep, and Zuko tries, he really does. But for whatever reason, there is always a wolf among his koala sheep that Zuko has to fight, and sometimes it turns tail and he'd have to chase after it, or it morphs into something much worse, and it chases him. Or, he'd count to three hundred and ninety five and then a sheep would trip over the fence and then Zuko would lose count and have to start all over again. Or his koala sheep try to count him. Or he counts koala sheep until his bleary and sleep-deprived mind finally realises that he's actually putting off sleep to keep accurate count of koala sheep that weren't even real, and he wakes up irritable and grouchy and not well-rested at all. Such is his faith in his mother that Zuko never truly abandons his attempts at her method, but he does end up giving up on the venture more times than it actually works.
Ursa herself is good at chasing the monsters away, and on really bad nights Zuko doesn't hesitate to tiptoe to her quarters and fall asleep enfolded in his mother's embrace. But he is a prince of the Fire Nation, and that means that even at five years old he is expected to have his own room and his own bed and to conquer his own fears.
So most nights Zuko lies there in his vast expanse of blankets, and waits and waits for sleep to come. Most of the time, it does, his young body wearied by its exertions during the day, but sometimes the sandman takes his time, and Zuko's five-year-old imagination spins and spins until every creak amplifies itself into a roar and his eyes are darting all over the room, expecting something to stare back out at him from the dark. Candles are useless; they only create jumping, lurching shadows on the walls, and with every lurch sleep eludes him until Zuko either gives into the mounting fear crawling up his throat and hides himself completely under the covers, or he jumps up and runs to his mother's room to nestle into the comfort of her arms, princely dignity be damned.
But Azula changes that, one night, when Zuko gives in to the fright, utterly sure in his conviction that there's a white face floating in the furthest corner of the ceiling and he leaps off the bed, ready to scarper-- only to narrowly avoid missing stepping right on his baby sister.
She stares up at him with wide eyes, and Zuko is so surprised he temporarily forgets his fear. He rubs his eyes.
"'Zula? How..."
She says nothing, only raises her arms towards him. Her eyes demand that she be picked up, but at age five Zuko is no reader of the expressions of toddlers, and he merely frowns.
"Go 'way. You're not supposed to be here."
Azula couldn't possibly have understood what he said, but her face screws up anyway, probably from his tone. Zuko blanches, recognising that look as the one his little sister always wore when she was about to howl.
"All right, all right! Shh, 'Zula!"
He picks her up, and on cue she quiets down after she gets what she wants, her brow smoothing over as if it'd never been furrowed in the first place. It's not very long before Zuko has to set her down on the bed, his arms already aching with the weight of her. To his further chagrin, she settles down immediately in the spot he'd vacated earlier, yawns once, and appeared to go back to sleep.
Of course, Zuko has to pull the blankets over her then, but there's so much of it that by the end of all the tugging Zuko's arms are even more tired out, and before he knows it he's crawling back into his own bed. He curls around his sister, grumbling at how he has to re-warm up his new spot on the sheets and how Azula's taking up most of the pillow. By the time he realises that the monsters have been kept at bay by his distraction with his baby sister, he's already drifting off to sleep himself.
It falls into a sort-of pattern after that. Ursa catches on pretty quickly as to why her son isn't coming to her as much for his nightmares anymore, and is not-so-strangely all right with it. Her sleep is less interrupted (not that she minded in the first place) now that she is less likely to startle awake in the middle of the night to check if her youngest child is still safe in her crib, and it was good sibling bonding.
Her children have each other. It was important that they strengthen their family ties and build love and trust between them, unlike what Ursa had been unable (had never wanted) to do with her own husband.
It doesn't last very long.