See if you can find a piece of foam from packing material, so you have a "freebie," then wrap it around an inflatable of some sort. Another "freebie" can be a recycled mylar balloon. They can be inflated and deflated using a straw.

Even if you buy the above, you are looking at fairly cheap and very light.

Your pillow can be improved if you make the case with two open ends, closed with a casing to enclose the "stuffing, and with the drawsting set up to go around and under your mattress to anchor the pillow to the matt.