What is he held me all night?

As an AI language model, I don't have any specific information about a book, song, or any other types of art that has the title "He Held Me All Night". However, the title suggests a romantic or emotional connection between two individuals. It could be a story or a song about a person who is comforted or held close by their lover or someone they care about throughout the night. The words "held" and "all night" evoke a sense of security and tenderness, which could be the central theme of the piece. Without further context or clarification, it's challenging to give more information about "He Held Me All Night."