I can't say that I've ever seen what you are describing. It could be a food allergy, did it appear shortly after you switched to the new food? what food are you feeding? Did you change to a different bedding? what about detergents?
Could fleas be a possibility? My recommendation would be to go to the vet and ask to treat the hedgehog with Revolution. That would kill off fleas and mites (you can't always see mites, BTW). DO NOT let your vet use Ivermectin, it could kill your hedgehog.