Hi Kelly,
I think you can do pilates wherever you want  Pilates can be pretty low-intensity though, more like yoga than weight-training (depending on how you're doing any of those three things they can all vary in intensity.) General rule, if it hurts, don't do it. You CAN do low-intensity stuff like cardio, yoga, pilates, abs etc. on weights-off days - just promise me that that you are going be resting SOMEtimes, ok?  (YES, it is VERY important!)
...Personally though (and I apologize if this is not the kind of advice you're looking for or if I'm overstepping here or anything)... but I really think you need to relax a little bit on the exercise program-planning stuff and just DO it (sorry, not to quote an over-quoted campaign or anything...lol). You really don't need to stress out about it this much! The most important thing about exercise is consistency. Honestly, as long as you're exercising, you're enjoying yourself and you're not hurting yourself, then it's really hard to really screw it up or mess up potential results or something like that. You MAY be reading a bit too much into all of it. Really, just find something that works for you and that you enjoy and stick to it, and don't worry too much about the details, ok?
Hope that helps a little, and sorry if I've offended at all - defintely wasn't the goal! 
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Kelly
