This choice irked me a little. Rex isn't a self-insert protagonist. He's not Joker who barely says shit and is portrayed as the coolest thing ever, he's not Commande Sheperd whose lines you can pick. He's his own character - a naive bloke.
With that in mind I picked Pyra in a heartbeat. Rex had some nice moments with Mythra sure, but it's so obvious that Rex had more affinity with Pyra than Mythra throughout the story.
Hearing Rex shout "MYTHRAAA" at the end just doesn't work for me. It's not what Rex would shot. It'd totally be Pyra.