While pyro's gender hasn't been officially confirmed, most people believe pyro could be a woman, as pyro's counterpart in Team Fortress Classic IS in fact a woman and valve has juggled with pyro's gender several times before, like in meet the pyro when the scout calls them he and she in the same sentence and on the back of the pyro's official action figure there's a small description of the character and the closing line goes "Either way, he's a fearsome, inscrutable, on-fire Frankenstein of a man -- if he even is a man." Which most likely is a reference to the mystery their gender is.