It's an ARM based CPU, so no x86 (ie, Steam) games are likely to run. There are a number of games which have open sourced their engines which can run.
Here's a list of games that are already in the Debian repository. You'll likely not have heard of most of them, but there should be more than a few you're familiar with.
Then there's the existing Pandora Repository. Most of these games will likely be made available for the Pyra as well, eventually, as the developers get their systems.
Now, not to get any hopes up, but there is an x86 emulator which has shown a lot of promise in running Steam and many (older) games available for it.
All that being said, if your chief interest is in playing Steam games then you are probably better off with a Win. It is cheaper and will have better compatibility for what you want, I'm sure. They Pyra has a different, though overlapping, feature set from the Win, so it's best to pick the device which matches what you really want to do.