What is a very bright star that is made of an enormous cloud of gas?

All stars are made in clouds of dust and gas (nebulae). The brightest star visible from Earth is called Sirius. It is in a group of stars called Canis Major (The big dog).
While it is true that all stars are made of dust and gases (hydrogen & helium), from your question ( “enormous cloud” ), it appears that you are talking about the ##eta##-Carinae system.
Stars are thermodynamic systems that are in hydro-static equilibrium where at every point there is a perfect balance between inward pulling gravitational force and the outward pushing pressure forces. The pressure usually has two components – the thermodynamic pressure plus the radiation pressure. Radiation pressure comes into effect only when the star is massive enough for its core to start and sustain nuclear fusion reaction.
Brown Dwarf Limit
So there is a theoretical lower limit on the mass of a star called the Brown Dwarf Limit. If a collapsing system’s mass is less than this limit the system cannot start and sustain nuclear fusion reaction and become a star. Such systems would end up as Brown Dwarfs. The Brown Dwarf limit is about ##0.08 M_{sun}##.
Eddington Limit
On the other extreme there is a theoretical upper limit on the mass of a star for it to be stable, called the Eddington Limit. The radiation at the fusion core depends on the size of the core. If the mass of the collapsing object is massive enough to develop a very large fusion core, it produces too much of of radiation. The resulting outward radiation pressure exceeds the gravitational inward pressure and the outer layers of the star explode.
##eta##-Carinae system is a very massive system which seems to be above the Eddington Limit and as a result is unstable. It has a long history of exploding again and again. With the exploded matter rain down again only to explode again….