There's three separate windows in Loid's room. One to the right wall, and two on the wall across from the entrance. I'm guessing the door on the side is the closet. Both times we got a glimpse of his room in the anime, the shutters and the curtains were closed.
From an outsider's perspective, it should make sense to not see any light coming from that room.
(A quick approximate house plan. Greens are doors and reds are windows/balcony doors - I know there are ways to depict them but I just didn't wanna bother so I used colours instead)
For their cover, Loid and Yor are supposed to sleep in the same room, so there should be no need of everyday use of the extra bedroom. In fact, seeing light coming out of it at night on days where they don't have any guests would arise suspicions. Therefore, it's necessary to cover the windows in that room. I mean, it's not like he spends a lot of time in there, only for like the two or three hours he allows himself some sleep, so.
It's also interesting which room Loid picked for his own. Yor's room looks slightly bigger, but it faces the road, and there's a spiky fence on the ground under the balcony.
You'd think that Loid would choose the room that's right next to Anya's, being her "father" and all that, as well as choose the bigger room that has better lighting. You'd think. (Don't forget that when he got that apartment at the end of episode 1, he wasn't considering it a necessity yet to find a fake wife)
It's Yor's room, instead, that has the windows open, and the one they use as the "master" bedroom for appearance's sake.
Now this screenshot above may not be the best example, as it seems the left side of their apartment building is tight to another building, but we see that Yor's room has a balcony door on the wall opposite to the entrance, as well as two very bright windows on the adjacent wall.
So it might have been a misstep on the animation from that episode, as it seems that the left side of the apartment faces an alley.
So, Loid's room has windows from two separate angles that face an alley, and is on the first floor. As he said while checking the first apartment in the first episode, that's a secure escape route. He's athletic enough to jump from the first floor and land safely, and escaping through an alley is safer than jumping out into the main road (and having to avoid the spiky fence!).
(no manga spoilers please)
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