Mass & air gapping prevents sound transmission.
A speaking voice doesn't take much sound insulation to stop it leaking into the next room, but if you live in a building where the walls & doors are so light that you can hear someone speaking normally from the next room with the doors shut, then there's little a bunch of pillows is going to do to help.
As you're starting from such a high-transmission structure I don't think anything short of 4" of heavy rockwool inside another plaster-board [drywall] layer is really going to help much.
For economy of effort … just go outdoors.
BTW, you can easily test how much a pillow will stop sound by getting someone to speak right in front of you, with & without a pillow over their mouth. Muffled, yes - because it will remove the highest frequencies - but any less actual volume… no.