A lot of people vaguely call The Milky Way Galaxy simply the Milky Way, but I don't approve of such vague speech which blurs the distinction between two separate things.
The Milky Way is a faint band of light in the night sky, which can been seen where the background sky is dark enough.
The Milky Way is thus an appearance, or a sighting, or an illusion.
Just like the sky is more or less an illusion. There is a relatively thin layer of atmosphere over the surface of the Earth, and above that an almost total vacuum extending to infinity which is called outer space.
In the daytime, atmospheric molecules reflect and scatter sunlight, so the blu elight coming from every direction makes it look like there is a solid dome above us which is called the sky.
At night, there is no reflected sunlight, and the atmosphere is almost totally transparent, and we can see through it to the vacuum of outer space, which is black except where light from distant shining objects reaches Earth.
Most of the shining objects seen at night are stars, which have greater or lesser absolute luminosities and which are at nearer or farther distances from Earth, and thus have greater or lesser apaprent brightness as seen from Earth.
There are a few thousand individual stars that humans can see in the night sky without telescopes, amd millions of others that can bee seen with binoculars and telescopes. And the light of many millions of distant stars is blended together to make the light of the Mikly Way.
The Milky Way Galaxy is a galaxy of billions of stars. It has a galactic disc where the stars are packed closer together than in its halo region. The Sun and the Earth are within the galactic disc. We see scattered individual stars when we look away from the galactic disc. When we look though the plane of the galactic disc we see the light of star after star after star after star blended together in a pale light, the Milky Way.
So the Milky Way is an optical appearance, like the blue sky or a refection in a mirror. It is sort of an illusion.
But the Milky Way Galaxy is a physical object and group of smaller objects, and a physical place and group of smaller places. The Milky Way Galaxy is certainly not an illusion.