Monks, traditionally, eschew the pleasures and comforts of the flesh, preferring to make do with the most simple of foods, clothing and accomodations. Rather than have large rooms with luxurious beds, they would usually sleep in small, cramped cells, the minimum necessary, with no frills.
From what I remember of this series of novels by Williams, he borrows very heavily from Christianity in his fantasy world, with a faux-Christian religion serving a very similar role in the world that it did in Medieval Europe. I believe the monk's holes he is referring to here refers to the sort of monk's cells you would see in European monasteries.
And as an aside, I seem to recall enjoying the series quite a bit, though it's been over a decade since I read it.