Where does the steward of Windhelm sleep in Skyrim?

try palace of the kings

otherwise, look in all locations in windhelm listed here:

http://orcz.com/Windhelm

Sometimes he sleeps in the "Palace of Kings Upstairs" (first door on the left when entering palace of the kings, and another door in the war room.) and sometimes he sleeps down in the kitchen area (second door on the right, take the hallway until you reach kitchen, and the bed roll will be on the floor to your left).

With Jarl's wife allegedly :)

go in the jarls quatars and take a right

hj