The day RED Scout saw RED Pyro without her fireproof overalls on was almost too much for him to handle. He actually asked Medic to swap out his brain for a "clean" one. Fortunately, Engineer was able to stop Medic (who was crying in joy at the prospect of his first brain transplant) before he did anything permanent to Scout. Soldier insists that it would have been better if Engineer had not interfered.
No dear, she's a woman. She high-fives very girly like, and you can go to the lockers, find the pyro's suit and you will find a pink (or blue) purse with a flower on it. And she's short. And most of her hats are girly. Plus, valve has wanted to put a girl in team fortress without changing any characters.
To me there are actually TWO Pyros: One's a guy, the other's a woman. The Administrator hired both of them for two reasons: 1, because they were both ex-firefighters, and were good at controlling fire and 2, she wanted to have a good laugh of them screwing with the team's minds.