My daughter has a Quaker parrot. She bonded with a sweet little yellow parakeet that would lean up against the parrot a little under her wing. After the parakeet died, I made a little square pillow, cotton on the outside. My daughter placed it in the cage up against the side of it. The Quaker immediately started leaning against it when she sleeps. Now all my daughter says, is Nite Nite and the little parrot goes in her cage and snuggles against her pillow.
Recently she has taken to now leaning against the pillow and laying her head sideways over the top of it. I haven't heard of parrots sleeping with pillows....so cute.