1. Don't generate PDF using pheatmap() or heatmap.2() as (i) the file is unnecessarily SUPER large if you have a lot of data points in the heatmap, so that you can kill your Illustrator; (ii) annoying grey boxes added to the grip (see here). Use basic image() with zero margins (e.g. par(mar=c(0,0,0,0))) to generate high-resolution PNG (or JPEG, TIFF) and place in Adobe Illustrator. You can freely add legend/annotation there easily.
2. When you use image(), rotate your matrix 90 degree clockwise first, so that the conventional printed layout of the matrix is same what you see in the image (e.g. top-left corner --> x(1,1) in your matrix etc.). An elegant piece of code for clockwise rotation can be found here: