From memory, the quoted conversation takes place right at the beginning of the episode, "Bertie sets sail", in the following setting:
Wooster is escaping to New York (in a bid to avoid getting married) aboard a passenger liner. It appears to be the first time that he's been on one of these newfangled floating hotels. Jeeves leads him to his suite which, at first glance, looks to be something along the lines of a small, comfortable parlour. Wooster looks around with great interest as he was probably expecting a well appointed, but cramped, cabin with a bunk bed or two. He is suitably impressed and informs Jeeves that he is suitably impressed. As he is doing so, he notices that there are no beds anywhere, bunk or not, which is when the OP's excerpted dialogue takes place.
(Wooster): Just one thing. Where do I sleep?
Jeeves moves to the other end of the suite and, with a quiet flourish, opens a door leading to a whole 'nother room altogether - a warm, cosy, comfortable bedroom.
(Jeeves): In here, sir.
Wooster is astonished and enters the new room with an "I say" or two.
In other words, Jeeves is indicating that his master will be sleeping inside here where here is the room that he has just opened. If he was simply indicating a bed, he would have just said, "Here, sir". Depending on the location of the sleeping quarters, he could have also said, "Up/Down/Out here, sir".
He could have also dropped the "In/Up/Down/Out" and just said "Here, sir", but, the preposition would have been implicit either through his physical location or an indicative gesture.