Well, here's my take. I think the pyro is legitimately a girl.
So, we're treated to The Lovin' Spoonfuls "Do You Believe in Magic". It's entirely applicable to the pyro in almost all ways, when you think about how people play the pyro and try to describe playing the class to other people.
However, there's something entirely different I take away from this. It's so tinfoil it's not even really worth it, but it adds some depth to the tf2 characters that I really enjoy.
So, a recurring motif is "Do you believe in magic, in a young girls heart" and so on. Well, our closing shot of the pyro is the pyro walking away from the burning scene, with the BLU soldier framing the shot through a hole out of which it appears his heart has been precisely 'airblasted' out.
Personally, I think the pyro may have had a bad breakup with the BLU soldier, and the pyro possibly coming out of an abusive relationship or something, becoming insane, and only wanting to spread happiness. Until, finally, they meet again, and the pyro takes out his heart as a kind of revenge thing.
I dunno, I'm still thinking on it to make it work as a proper tin hat conspiracy.