Some dogs like to sleep at the bottom of the bed, but some like other areas. The whole "dog's sleep at the foot of the bed" thing is partially because there is more room there, so it's nicer for the dogs and the that's where the human encourages them to sleep so they have more room too! Also, some dogs like to sleep between their owners and the door, as a protection type of thing, and the foot of the bed usually fits that description.
Lots of dogs like other areas of the bed though. Some dogs like to be under the covers, some like the middle of the bed so they feel like they won't fall off, some want to literally sleep on your head, some like the pillows because it's more soft and comfy.
I can't say for sure why your dog likes sleeping between the pillows, but I could provide some possibilities! Some people kick in their sleep, I sure do, so if you maybe toss and turn and kick, she probably get's kicked less up there. Being in between the pillows might keep her warm, and she's kind of surrounded by pillow that way. Or she may feel more secure wedged in like that.
Try switching some stuff up with the bed. Put a little blanket nest on one side of the bed and see if she likes that. Start guiding her under the covers. My dog never used to like under the covers, but we covered her a blankie a few times, and now she loves it. Maybe try sleeping with your feet where your head usually is and vice versa, and see how that affects things, as it might help you determine why she likes the spot she likes! Good luck!