I did it this way some time ago, but it is working partly. In watches is shown as pilates but on web/connect as Joga. Theoretically there should be also difference in calories calculation (at least in Endomondo is).
Only native apps/activities will save to Connect as the correct activity type. So while you can make a copy of the Yoga app and name it Pilates you will have to change the activity type in Connect but you can only do that if such a type exists in the pull down. Which in this case Pilates doesn't.
It's the same problem I had with logging my post run Yoga sessions until the Fenix 5/FR935/VA3 came along and they added the activity type.
Calorie calculations are going to be driven more by HR than what the activity is so what it gets logged as in Connect shouldn't really matter. If the performance of optical HRM in Pilates is the same as in Strength training or Yoga the bigger difference for calorie consumption will be made by using a chest strap to get a better HR recording.
