The word "pyrokinesis" is the name for the ability to create fires with the mind. Somebody with the ability to start fires with their mind would thus be a "pyrokinetic".
A Google for “pyrokinesis” gives 3,680 matches. A quick survey of these shows they are split pretty equally between talking about the Magic: The Gathering card, the paranormal power, and a Japanese horror/action/thriller movie directed by Shusuke Kaneko.
However, "pyrokinetic" does not mean "create fire with the mind". Insofar as it means anything at all, it means "fire mover/movement". My theory is that somebody with not much of an understanding of Greek roots (even less than me) saw that telekinetic meant "moving with the power of the mind" and assumed that "kinetic" was the part that meant "with the power of the mind" when they really wanted the "tele" part (which really means "far"/"from afar" not "mind", but serves to indicate this is a non-physical process).
The problem is that "Tele-pyro" doesn't sound good and anyway it should really be "psycho-pyro", which sounds even worse. If you have any suggestions for a more accurate and better sounding name, please msg them to me and I'll put them here.
Phssthpok suggests pyromancy, which is a branch of magic (or "magick").
Psychopyronics, and telepyronics have been suggested.
arieh suggests "telepyric" or "psychopyric", based upon English forms.