I have a fair bit of feedback, so excuse the long comment!
The feel of the game could improve in several ways, depending on how you want your pillow to feel. If you want your hits to feel snappy, the windup before a hit needs to be short, and the player needs to recover quickly. If you wanted a big hit, generous hit stop, and maybe even a "Hold to Charge" mechanic would improve the impact the player will feel. Pepper in some proper SFX and you're golden!
While the music leads to a possibly intended feeling of anxiety, I would say having a volume slider at the very least would be appreciated. In terms of composition, it may be beneficial to use less dense waveforms to make them sound a bit less grating for extended periods.
In the art department, however, it's a very charming presentation and a very well realized theme. The pixel art is great, and I love that the background photos are the child's face with red or hollow eyes, very creepy! The way the enemies become more twisted as the rooms go on is a very neat concept and makes a lot of sense given the theme of a nightmare.
Overall, very good for a first game jam!