The Pillow World is a realm Finn visits in his pillow fort in "Puhoy". He visits this realm after he decides that he needs some alone time to think about his situation with Flame Princess.
The whole world and its inhabitants are made entirely out of pillows, blankets, and bedding. The sky is entirely made of one sheet with cloud print. Hills and mountains are great rumpled quilts. Houses tend to be made of stacked cushions and pillows. Animals and trees are made out of pillows. Finn did not know how he got there, but that there was a small red door that he went through in Jake's pillow fort that brought him to Pillow World.