Sometimes, though not often, a thin foetal membrane (the amniotic sac) envelops or partly covers the baby at birth, especially in premature births. This membrane, called a caul, is harmless and easily removed by the midwife.
Since the baby born in a caul has not drawn its first breath, there is no immediate danger of suffocation or drowning. Indeed, in medieval Europe, being born in a caul was a sign of good luck, especially against drowning. It is mentioned a couple of times in Grimms' Fairy Tales: The Devil with the Three Golden Hairs and Hans in luck.