A floating object is generally regarded as weightless. So, TRUE - a pillow weighs more than a cloud.
But it depends how you define "weight".
If by 'weight', you really mean 'mass', the mass (i.e the amount) of water in the cloud is many tonnes, so the cloud has more mass.
Sometimes, the 'weight' of a thing can be legitimately defined as the force of gravity acting on the thing. In that case, the cloud has more weight.
Or the 'weight' of a thing can be legitimately defined as the force of gravity acting on the thing, minus whatever upthrust or flotation force might be acting on the thing. In that case, the pillow weighs more.
Gotta be a right answer in there somewhere . . .