In simply way (and as far as I know): you can connect to cloud every type interface that cloud have.
As of GNS0.8.x, cloud can have plenty of interfaceces, but all of interfaces are ethernet type.
Simply said, you can connect every device that have ethernet interface. Ethernet can be tagged, untagged - nevermind, but it has to be ethernet. And, like you know, you cannot conneth Eth to Serial.
But how is this afecting the fact that I cannot ping the local serial interface, from the router to its own interface...
Serial differs from ethernet, also in that case. With Ethernet, you could connect router interface with IP address configured to simple unmanaged switch (to make router will 'up' interface) and you could make router to ping itself. Serial behaves differently.
Just look at the video http://www.youtube.com/watch?feature=pl ... LsA#t=2562
Whole video is about Frame Relay, but that fragment should enlighten that topic a bit.