Heat transfer is the answer.
When you feel cold it is because your surroundings are drawing heat from your body and the opposite is the case for when you feel hot (although there are exceptions to the second one)
So what happens when you lie down initially the pillow is room temperature and because you are warmer than it, it absorbs your heat. Over time you may become uncomfortable with the pillow as it warms up to your temperature so you flip it.
The other side of the pillow hasn’t had the opportunity to warm up to your body temperature since it hasn’t made contact with your head and so relative to your face it feels cool.
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