I'm guessing the stitching is "hemstitching". It consists of tiny holes where you put your crochet hook to crochet the lace directly to the pillow case(s). If you don't crochet, you can still attach purchased lace and hand stitch the edge to those holes. Contact your local crocheting group for assistance if there is one or check with your local library to find a how-to book. It will probably be in the crochet area.