I made this today to go in the new nursery I'm working on. The hot air balloon is felt, the "ropes" are yarn, and the base of the pillow is just a basic cotton fabric. Easy peasy!
(Except don't do what I did and hot glue the balloon together because your machine needle will have a really hard time going through the hot glue. At least if you have my machine--what a headache!! Just pin the chevron stripes on, and remove the pins as you go...like a normal person.) :)