Phoebe put the pillow over her head because she is depressed that Holden has been kicked out of school again.
After Holden gets kicked out the most recent boarding school he was attending, he goes home to see Phoebe. He is home earlier than he was supposed to be, and Phoebe figures out that he has been kicked out of yet another boarding school, which makes her very upset. That is why she puts the pillow over her head and repeating, "Daddy'll kill you."
Holden responds that he has not flunked out, not being honest. Nothing will make Holden happy until he finds happiness himself.
Struggling with J. D. Salinger's The Catcher in the Rye? Check out a thorough summary and analysis of this literary masterpiece at Shmoop.com.
Even if you have lots of experience in reading books, you will still come across a novel that's difficult to get through. Here are tips to get through any novel, featured on ThoughtCo.com.