Hey, my rabbits have done this so many times and I think Hermelin is right, they can smell a lot of scent on our pillows so they go there to mark their space... or sometimes with mine, to send a message
I've found my buns do this especially when I neglect cleaning their litter box for an extra day or when one of my buns was new to the house it happened a lot. One of them did it for a week or so after he was neutered...and I think that was hormonal.
They both tend to indicate when they're going to by scratching at the sheets first, so usually, this is when I intervene and take them off the bed.
If I have the energy during the night, taking them to their litter tray and placing them in there instead is good.
What I also do is put some plastic or chicken mesh on the bed during the day so they don't enjoy walking on it. at night if they jump up I immediately have to wake up and put them off the bed. (some sleepless nights required, but that's just because I don't pen them up at night)
I think the most important thing is always removing them from the bed until they learn not to be there. Then also whenever you notice them using their tray at all give them a treat or pat to reinforce the good behaviour.
For one rabbit I also found making their litter tray more accessible helped... one of my rabbits needs a night light to encourage her to go to that room.
She also responded better when I put more hay in the litter area for her to eat.
One of my buns only pees against the pillows, I think she likes backing up against them. so I make sure I take them off the bed during the day, this has stopped her from doing it and she just happily hangs out up there now.
I find also when they pee on things (and they have on the couch too!) ...if I spray the sheet or pillow with white vinegar immediately or also before i wash it and also put a bit in the rinse cycle it seems to work better at removing the smell. I've also used diluted eucalyptus and lemon.
Good luck and if you're consistent it should take less than a week