You can already get heated cushions, not sure about pillows though.
Sweet Dreams Electric Heated Cushion/Pillow/Heat Pad for Back Pain & Arthritis - Digital Control with 3 Heat Settings & Auto Safety Switch Off After 90 Minutes - 40 x 30cm (Beige, 40 x 30 x 14cm)
Sweet Dreams Electric Heated Cushion/Pillow/Heat Pad for Back Pain & Arthritis - Digital Control with 3 Heat Settings & Auto Safety Switch Off After 90 Minutes - 40 x 30cm (Beige, 40 x 30 x 14cm): Amazon.co.uk: Health & Personal Care
You can already get heated cushions, not sure about pillows though.