I have talked with the coffin-maker and he says that he is out of pillows and can't get more because the Warehouse is closed. When I go to the Warehouse, it won't let me ask for a pillow. Please help someone...

How do I get the pillow?

What won't let you ask?

You have to speak to that floating head in the Warehouse, not people behind the head. And you'll get the pillow, don't you worry about that. Of course, if you promised to coffinmaker that you'll get the pillow by yourself.

When I talk to the head and try to claim something, the only option is "Claim a large bag of coins"...I already did that, and I already talked to the coffinmaker about the pillow

I really can't know what could go wrong there.

But if it is a bug as it seems, try to deal it by installing the patch.

Anyway, try to do some more quests before you try the pillow one again, and if you still can't get the pillow after, leave the whole thing unfinished - the pillow quest and dream machine are not needed to progress through the game.