You can usually create a pyramid shape using [Pyramid] in the [Shape] Catalog.
However, rectangular pyramid cannot be created.
Rectangular pyramid can be created in the [Extrude Wizard] on the [Feature] tab.
Procedures:
[1] Create a block using [Extrusion Wizard] on the [Feature] tab.

[2] Click [Extrusion Wizard], it creates a sketch using [Polyline] and so on so that the front of the block created in [1] is triangule and select [Remove material]. After click [Finish].
[3] Temporarily suppress the [Extrude] created in [2].
[4] [2] Create a sketch so that the other side of the block created in [1] becomes a triangle and select [Remove material].
After click [Finish].

[5] "Unsuppress" of [3].
Please refer to the video below.
IC-014