Some tracking methods in Pillow require that both devices are active and visible on screen when a sleep session is started.
To start a sleep session on the Apple Watch, please:
Open Pillow on your iPhone, keep it open and do not press any buttons.
Open Pillow on your Apple Watch.
When you are ready to start a sleep session, select one of the presets you have created and tap on it to start tracking your sleep
Please make sure to lock the screen only after a sleep session has started on your iPhone to avoid unexpected shutdown of the app during the night.
Just to clarify, Pillow on the Apple Watch should require the iPhone only if you try to start a sleep session with one of the following options checked:
iPhone speaker
iPhone vibration
Sleep aid
Audio recordings
These options use the iPhone, so connectivity is required in order to start a sleep session. Once the sleep session starts, you can lock your iPhone and place it on the nightstand.
In case the issue persists, it's very likely that Pillow has been incorrectly configured by watchOS and you can resolve the issue by following these steps:
Uninstall Pillow from your Apple Watch.
Restart your iPhone and Apple Watch.
Re-install Pillow on your Apple Watch.