After yearrs of thinking, I finally deduced the Pyro's secret identity.
Pyro is Mario. Yes, the face of Nintendo, the mascot of gaming, everyone's favourite Italian lives a secret live as the mystery of TF2, the anonymous mercenary. Specifically, Mario is inside a Pyro mech suit.
Let us analyse what we have:
Pyro's primary weapon, the flamethrower, doesn't make sense. A flamethrower always have a compartment for fuel AND a method to provide compressed air so that the air can be used to propel the burning fuel. Yet the flamethrower doesn't seem to need that. This hints that the flamethrower works on a more exotic mechanism.
Meanwhile, Mario has the Fire Flower, his main offensive techniques besides stomping on foes, a flower that allows him to cast fireballs at his foes at a range. Combine these two together and the flamethrower suddenly makes sense. The flamethrower doesn't function via spewing burning gasoline, it harnesses the power of the Fire Flower.
The flamethrower runs on the Fire Flower, but considering the fact that it exhausts the Fire Flower by making it produce streams of searing flames instead of fireballs with long cooldown, it does get used up, which is why flamethrowers don't have unlimited ammo.
Airblasts function slightly differently: it uses the Fire Flower as a fuel source to produce a kinetic blast instead, sacrificing offense for utility.
One can also look at the Manmelter, perhaps the weapon that functions the closest to the original Fire Flower. Wait no, it functions exactly the same as the Fire Flower.
The Pyro has an air tank and a gas mask. Wait, what? Air tank AND gas mask? The gas mask shouldn't impact breathing until you need a tank, and and air tank would've made the gas mask obsolete. Which would mean one of it is merely cosmetic. But if Pyro is a mech suit for Mario to use, it would make sense if the gas mask is cosmetic and the air tank is neccesary. In fact, the whole head is cosmetic (I'll explain later). Mario couldn't survive in the TF2 universe's atmosphere, thus he needs an air tank for his air supply, which would mean the suit is airtight.
And the Pyro's mumblings? You can't hear anything of Mario's enthusiastic "Mama-mia!" from within the airtight suit except for muffled mumblings, can you?
Pyro has the most unique type of cosmetics ever: replaceable heads [http://wiki.teamfortress.com/wiki/Equip_region#List_of_equip_regions
]. Aside from Halloween cosmetics (which are due to magic. Just look at the Voodoo Souls) no other class have this, hinting that no matter how crazy TF2 is, no one should be able to replace their heads. However, a head isn't necesary for Pyro to function. Here's why:
In most media, Mario is depicted to be fairly short, not even up to Solid Snake's shoulder [http://static3.wikia.nocookie.net/__cb20111007054706/metalgear/images/2/24/SSBcodeccall.png
]. But as Super Mario players know, that is not Mario's default form. Mario always started out as a smaller version of himself. Small enough, in fact, to fit within the Pyro's torso completely, which is actually the mech's cockpit. Thus, the head isn't necessary for the mech to funtion, which is why it is so easily replaceable.
Ok, big one here: If this is true, why does Maio need to take up mercenary work? Short answer:to survive.
If you notice, Mario is always, ALWAYS, collecting coins. And for every 100 coins, he gets one live.
Thus, Mario needs money. In fact, money is the only thing capable of keeping him alive. And considering how well being a mercenary in TF2 pays (just look at the Heavy, he can afford to pay for minigun bullets, feed his whole family, AND give a child $7000 for Halloween [http://www.teamfortress.com/bombinomicon/?p=3
]), he finally made the choice to keep him, Luigi, Peach, Toads #1 and #2, Daisy, Rosalina... OK we estabished that Mario needs a lot of money now, right?
And thus we can now conclude, Pyro is Mario in a mech. We cool?