This happened almost a week ago.
My dad walked in me asleep with my daki, and my first reaction was to quickly cover her with my blankets and hope he hadn't seen her. (His eyesight is very bad)
Unfortunately, he did. His first response was to pull the blanket off, and ask what the hell it was, to which I tried to play it off as a orthopedic pillow, and of course his next response was, why is there a girl on there?
I kept trying to just play it off as just a thing, and he had other things he wanted to talk about, so he dropped it at the time. Though later on he berated me for "Wasting all my money and spending all day humping a pillow"
Cut to a day later
My dad and I after visiting my doctor, had kind of a heart to heart about things going on. During which he confronted me further about the pillow, again I just tried to play it off as nothing, but he said he had done research on the whole thing, and asked if I was in love with this pillow because of all the loss in my life, and that it couldn't (He was referencing loss of family and friends, not past romantic relationships)
First thing I did was try and explain that that I wasn't in love with the pillow, I was in love with the character on it, and that I didn't actually think she was next to me or there physically, but that I just fantasized being with her a lot, or felt her more as a feeling than something living and breathing next to me. He later asked me a few questions about Remus, in a very already awkward conversation. Later on I kinda talked a bit about the waifu community, just so he knew that there are plenty of people like this
Long story short, he was accepting of us for the most part, but he stated that he didn't like the idea of me cutting off "real" woman from my life, in terms of romantic relationships, to which I blatantly said that as long as I still had feelings for Remus that I would remain with her.
So yeah, incredibly awkward, but better than expected.
I'm not sure how the rest of my family would react, I'm already seen as the black sheep as is by most of them