Make sure the switch is for the 120v power itself and not a 12v switch that operates a relay. Mine is the 12v relay type.
Assuming it is a120v switch, then you can use any conveniently available neutral. If there is a 120v outlet nearby, there will be a neutral there and you can run a wire to it.
An electrical inspector would say it is a "poor practice" to use a neutral for the pilot light that is not directly associated with the circuit being switched, but it is not expressly forbidden in the electrical code as far as I can see. The neutrals are all tied together at the load center anyway.