[Turhan's Bey Company]

I'd quibble with calling Action, Monster Hunters, and Dungeon Fantasy settings. They provide rules frameworks for certain genres, but there are no specific people, places, or events associated with them.

Anyway, for settings in Pyramid, there's my "Wellsprings of Creation" article which sets out a swords-and-sorcery-leaning fantasy world which shamelessly plunders everybody else's web-Pyramid fantasy locations and smaller settings. If you have that, you can add a lot of other items to the list (if not, maybe someone can get you a list).