Pyro was originally a Little Sister.
BLU Pyro
I think that since the general consensus is that RED Pyro is an autistic male [some say female, but I’m leaning more towards male, for some reason], that it’s possible the BLU Pyro is a non-autistic [I don’t want to say ‘normal’ for fear of offense] female [or male, could be either].

Pyro is both male and female. This explains the 2 very different reactions after the high-five taunt.
submitted by: neopianlyfe
Pyro is a girl
The Pyro is indeed a female. Under her mask is the Ermahgerd Girl.
Pyro is a vampire that burns in the sun. This is why he/she never takes off his/her suit. It protects him/her
submitted by: seamstresstothesupernatural
Pyro can’t speak properly because the speech part of his/her brain was injured in a car crash.
Spy + Scout = Pyro
If a Spy and Scout have a kid together it’s a Pyro.
When Pyro and Engineer build something together

I like to think that Pyro imagined Balloonicorn a different way originally, and that over time with the other mercs, he developed the version we know based on what he saw and heard.
Kind of like how impressionable little kids will imitate the grown-ups they’re around a lot in play and repeat the things they hear.
The lore of the game is no stranger to topics like cheating wives, alcoholism, smoking, and being temporarily homeless, all of which can be found in the digital and physical descriptions of him.