I hide too, though I feel like a guest, so I would be afraid to hold one of the pillows without asking or something. Otherwise I would! But my way of hiding is hunching over so that I'm looking at my lap and my T can't see my face at all. I almost never make eye contact, and it's really starting to bother me because I lose so much connection that way. It's kind of like I'm pretending my T isn't there- I don't feel safe otherwise.
It's so tough being vulnerable, so I understand the desire to hide. If you can't concentrate otherwise though, maybe it's not necessarily a bad thing that you hide. You are doing what you need to do to make it through therapy. But if it really bothers you and you would like to change it, maybe you could even ask your T to hide the pillows before you come in or something.