Pyramid Head never cared for it when people decided that he was religious. Religion was a concept of humans who did strange and stupid rituals to worship God. Pyramid Head worshiped his creator, but never saw it fit to do any stupid rituals. [Not religious. Do not have to perform stupid rituals to worship my creator.]
He noted Elisabeth's creation of her own weapon. Interesting. She was going to try and defend herself. He decided to answer her question though. [This is my head.]
After he answered her, he pointed just behind Elisabeth. Stumbling behind her was a grotesque looking boy like thing. He was covered in most places with a deep crimson wax like color, and the places that had no wax one could see burned and charred skin. His fingernails had bamboo shoots shoved deep inside of them. The creature lumbered for the young woman, howling and moaning as if in pain.