ActRaiser has a pyramid in the Kasandora Desert!

Breath of Fire - the dungeon called "Krypt", which is in the desert, is basically a pyramid.

Goldeneye - Is the Egyptian Level inside a pyramid? I'm not sure? Well, there's also that Aztec Level...

Dragon View - The sequel to Drakkhen has a pyramid that rises out of the desert when you play the horn.
James's Paradise ResortKiera-Yin-Cat's Game PondDEATHAMSTER'S NEST

"No one can withstand the power of KAIN"