抱(だ)き (daki, “hug”, the 連(れん)用(よう)形(けい) (ren'yōkei, “stem or continuative form”) of the verb 抱(だ)く (daku).) + 枕(まくら) (makura, “pillow”).
抱(だ)き枕(まくら) • (dakimakura)