I love 100% cashmere -- it's heavenly to work with and wear -- but I can't imagine being able to afford enough of it to make a pillow.
The stuff I've seen is tres expensive and you don't get a heck of a lot of yardage for your money.
I made a pair of wrist warmers from Lobster Pot Cashmere that I got at Knitting Central in Westport and it was $45 a skein and I think there were 85 yards per skein.
Also, I would think you would have to dry clean your pillow.
Just my opinion