Pyro seems to be the comedic flair of the two protagonists, constantly suggesting terribly structured plans, which often end up failing.
Pyro also has a clear obsession with fire, in Issue #9 he is entranced by the sunset which looks to him like the "world burning". He has a similar moment in Issue #55 while watching an airstrike. He later dreams about demonic creatures burning the world, which he describes as "good".
Pyro also seems to have suicidal tendencies, in Issue #5, Sniper sarcastically suggests a plan to kill the Yellows that would require his own sacrifice, Pyro states as an observation that the plan probably wouldn't work because it wouldn't kill all of them, showing that he wasn't worried with the fact that he would die. In Issue #23 Pyro says he was considering the "Blue's way out", as shown in Issue #14, the "Blue's way out" was suicide.