Some had pillows others didn't but either way I always take something to cover them as cleanliness is not always a priority in some places. In my case I take the checkered arab head covering that I bought years ago as its wide enough to cover the loooong pillows in spain and doubles as a scarf if it's chilly.
I always carry an old pillowcase with me. It´s a great barrier between your face and everyone else´s leavings, you can stuff it with other clothing items to make a pillow, it washes and dries easily and it doubles for all kinds of other things. If you lose it, no heartbreak.
One thing to watch for is fleas in pillows, although how you tell infected ones I don't know. We are just back from walking Le Puy to Conques, and my partner got fleas from a pillow in the Domaine du Sauvage gite. She reacts badly to insect bites and came out in red itchy blotches.