Pyro is a prisoner of Korag Fortress (you'll meet him late in the game) Pyro is quite literally the element of fire. Long fearing the great uncontrollable element, the foresters of the land captured the flame within a magical set of armor. However the spirit of the flame still persevered and so the fear of the people grew great. Avoiding further panic, they constructed a fortress in the frozen region just south of the Thunder Mountains. Surely the spirit of flame could be contained in a stockade of ice.