He used to dream of standing in a house made of fire. Everything was sweltering, and he could only see the furniture in great filmy waves; visible heat clouding his vision like a solid curtain. It was a big house, maybe even with two stories; nothing like the trailer in which he lived. It was always silent, but for the crackle of flames, until halfway between being content and confused (it should hurt, but instead it feels like home) fire alarms peal, echoing in the air like tortured screams.
The ceilings bleed water; it tumbles from them in great waves, filling the floor and sucking his feet under. The walls sizzle, revealing gray where they should be orange-red-yellow, and a great whirlpool of cold splashes about him. The water pressure is crushing him as the fluid reaches his waist and he cannot move, he cannot cry out, he cannot breathe and this is always the end; he gasps and claws at the ceiling as the last bit of air is gulped away until he is submerged. He wakes up unable to breathe and can never go back to sleep afterwards.
With time, the scenery would be transformed. When he first discovered his mutation, the house looked more like the inside of a jail cell than a nondescript building. When Xavier found him, the house looked exactly like the mansion. When he stepped off the jet at Alkali lake, there was no house but instead a giant dam of flame that would crack beneath the horrendous water pressure it strained to hold back. But no matter what, the play-by-play never altered.
He doesn't dream like that, anymore. Not since they left Mystique--Raven?--in the armored carrier on a nondescript highway in the middle of nowhere. He closes his eyes and can't smell anything but sterile, can't feel anything but needles piercing his skin and pumping him full of a cure to something that is hardly a disease and taking away his heat.
He wakes up now, just as he is convulsing on the ground (always a paved road, always charred and steaming in the harsh glow of a midday sun), terrified and gasping and feeling his fingers and hands engulfed by a flame he can no longer control. Sometimes he sits straight up and lights his lights his tent on fire, just to be sure it isn't real.
But when Magneto gets taken – destroyed; "cured" – Pyro isn't scared of anything, anymore, because he's got nothing in the world left to lose but his life and a really nice leather jacket.