Torticollis is, as @swbarnes stated, a possibility, however, it's less likely torticollis than simply a preference on the baby's part. Torticollis does present in neonates, but in that case, it's called congenital torticollis (CT), which is thought to be a result of intrauterine position (more common in breech babies) or birth trauma (sternocleidomastoid muscle injury or other). The incidence of congenital torticollis is .3% to 2% of births.
Do this to yourself: turn your head all the way to the right, and place your left palm on your lower jaw/chin area on the left side of your face. Keeping your palm there to stop your head from turning (providing resistance), try to turn your head to your left. Feel the large muscle on the left that runs from the corner of your jaw to your collar bone in front. That is your sternocleidomastoid (SCM) muscle. If you do the opposite, you'll feel the SCM on the other side. The SCM helps us turn our heads.
Congenital torticollis is present when one of the SCMs is weak, so the stronger muscle pulls the infant's head in that direction. The SCM also helps us to tilt our heads, so in an infant with CT will turn its head in one direction while tilting the chin towards the opposite side. (This can be a bit hard to see in neonates, but it's there.)
The doctor who delivers babies does an exam, part of which is to determine if CT is present. Pediatricians (or the delivering doctors, if they also care for children) also do a thorough exam soon after birth and again before discharging the infant, part of which is to look for CT. (All kinds of abnormalities are looked for.)
Head position preference, or the infant preferring to lay with its head to one side, is common, and present in about 20% of births. Interestingly, most commonly the preferred position is to the right. By the age of two months, 50% of infants will have corrected this on their own, and by 6 months of age, it will have disappeared.
Your doctor can determine if this is CT or a normal head preference, and will recommend a number of easy things to do to help minimize any problems which may be associated with prolonged head direction preference.
Congenital muscular torticollis: where are we today?