The TF2 Team writes:
"Day 4 of the Sniper update brings us... hold on, that's not...
Holy hell. All those conspiracy theorists on the TF forum couldn't have been right all along, could they? When the Pyro hears about this she'll be inconsolable."
Also note that VALVe has just confirmed that the Pyro is a female.
Update
Valve has apparently reworded the description to remove any insinuations of the Pyro being a woman. The original text was as follows:
"Holy hell. All those conspiracy theorists on the TF forum couldn't have been right all along, could they? When the Pyro hears about this she'll be inconsolable."
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