Having no confirmed gender means Pyro is treated as an "it". Making a "Washing-machine loli" would be considered moe-fication, and not genderswap in the exact same manner.
And UNOwen had it in their second post. Pyro has no confirmed gender, so Pyro cannot be genderswapped. Any of the other classes can be genderswapped since we know what they're packing in their trousers. But (and this may sound redundant, but I took Physics lessons and they taught me to repeat anything considered to be true to really get the point across) because no-one knows what the Pyro even is, things like genderswaps or anything where the character is forced into their distaff counterpart (eg male<->female, skin colour, sexualities) are completely and utterly pointless when applied to the Pyro. The only sort of opposite you could get from the Pyro is if you had them playing as another class, but the variety of weaponry that's offered makes this difficult too.
Yeah, I nerd-raged, but good god, it had to be said.
Useless bit of trivia-since the moonpeople can't do an 'L' (they just do an r so L and R are interchangable for them) 'Pylli' is a rather clever portmanteau.