Okay so he's warm enough... head shaking in some chickens are a sign of mites. https://www.backyardchickens.com/threads/sick-chicken-shaking-head-and-withdrawn.1272995/#:~:text=Enabler&text=Head shaking can be a,adjustment, or neurological in nature.
I've had chickens swallow a string and get...
I agree that it may be cold. Sometimes some just need more warmth. Try lowering the heat source and blocking drafts!!!! Also, check for 'pasty butt'. If his vent is plugged up, gently rinse with warm water and pick the pieces off. And be sure to return him to warmth to dry.
Good luck!