So, I don't think we are really using the Greek conjugation here at all, which is why it sounds weird when we try to analyze it in terms of Greek. In English, pyro- and anemo- are combining forms with the meaning of fire and wind respectively, as you would see in words such as pyromaniac or anemone. Now, to make a noun out of them you would (probably) follow the same rule for each of them in English following a similar pattern, and looking at some similar sounding Greek words that would be commonly known you have things like Chronos or Logos you end up changing anemo- to Anemos, and pyro- to Pyros.

Having the area be named Pyra would not sound right in English. Pyra sounds like a feminine name (it was also used as such in Xenoblade Chronacles 2 for example), i.e. the name of a person, not the name of a place or a thing.

Please take what I have to say with a pinch of salt. I am a native English speaker so I have an idea of what sounds right and what I would do if I was going to make up a name for something like this, but I have no background in linguistics. It's all Greek to me :P