Pillow does NOT require you to place your device under your pillow. Doing so might cause overheating and would provide inaccurate data to the motion sensors that Pillow uses to measure sleep quality. Your device should be placed on your mattress, face down, a few centimeters away from your pillow and body.
If you use Pillow with an Apple Watch then place your iPhone/iPad device on a nightstand next to you. The same applies to using Pillow only as an alarm.