Well, when a pyro stands still in the losing animation, the pyro stands in a very... feminine stance, if you can say that. Also the pyro has a pink handbag in their locker. Essentially, either the pyro IS a woman, or a guy with odd tastes in stuff. But yeah, Valve = mindfux to tha max
Valve has said before (I can't remember the source) that they didn't have time to make female models for all of the characters. Which means the Pyro has to be the "male model" (yes, that sounds weird) of the character.