We see in verse 20 that at least part of the cloud came between the camp of the Egyptians and the camp of Israel.
This is interesting too if you think of this as it being stretched over. The waters of the Red Sea were on their left hand and their right hand. So they were walking between water piled up, who knows how many feet high? But if this cloud went from before them all the way behind them, then they were also covered front, top, and rear with the cloud. So, in a way, it would be a type of total immersion in water—with liquid water on the sides, but gaseous water over the top, in front, and behind them. That is why I mentioned that other way in which the pillar of cloud could have gone. That seems almost to be Paul's understanding (when we get to I Corinthians 10).