I mean, Pyro's probably lit several people ablaze. He's not necessarily talking about Moira.
I would love it if he was filled in the entire time and just working with the X-Men to bide his time. He called Destiny mother or something which implies they had a deeper relationship than one would first assume. My hope is Mystique will call Pyro, Avalanche, Blob, etc. to her side as soon as her plan unveils.