And what was built with the clay bricks made by the Israelites in Exodus 5?
The word pyramid is a transliteration of the Greek word pyramis. It would not have been used in the Old Testament, written almost entirely in Hebrew, and it does not appear in the New Testament. It is included in the apocryphal book of 1 Maccabees, where Simon Maccabeus creates a memorial tomb for his parents and brothers using many columns and seven pyramids.
The word migdol is the Hebrew word used to describe tall structures, like a tower, a tall fort, or the stepped pyramid-like ziggurat. Exodus 14:2, Jeremiah 44:1 and other passages use Migdol as a place name in Egypt, so it could definitely be a reference to an actual pyramid.
The pyramids were made of granite that was barged down the Nile river, early in the history of Egypt's Kingdom. Later, around the time of the slavery of the Israelites in Egypt, Egyptian royals were buried in tombs of brick and straw, faced with granite to resemble the work of the earlier and greater pyramids. The Roman-Jewish historian Josephus says that as well as making brick, the Egyptians put the Israelites constructing the pyramids. It's possible that these lesser tombs are to what Josephus is referring.