The image gallery for Pyramid Scheme may be viewed here.
The movement of the Pyramids through the portal could be a reference to the ending of the last Futurama made-for-TV movie, Into The Wild Green Yonder, where the Planet Express crew flies into the Panama Wormhole; by a coincidence, Derek Thompson, who storyboarded this episode, was an animation director for this same movie.
It is officially showed that Gozi is Octavian and Cleo discovers it herself like in “secrets of the time tablets”.
When Octavian wants Cleo to join him and help rule the galaxy, this is likely a reference to the famous scene in Star Wars: Empire Strikes Back, where Darth Vader tries to convince Luke Skywalker to join him and rule the empire together.
The invasion of Mayet is similar to the ending of season 3 of She-Ra and the Princess of Power, when Horde's Prime fleet is shown lying in wait to conquer another planet; this invasion may also be a reference to the invasion of Coruscant in the final episodes of Star Wars: Clone Wars.
Brian says they traveled 63,000 light years, nowhere near enough fuel to get back to Mayet, saying that they are stranded; The Milky Way Galaxy, for instance, is "about 100,000 light years across in diameter and 3000 light years thick" and most of the galaxies in the universe are "smaller than the Milky Way," meaning that they could be in a different galaxy.
The pyramid buildings doubling as spaceships may be another subtle allusion to Stargate. In the movie, Ra's spaceship can function as his palace after landing.
Several Items from previous episodes have appeared in the season finally, such as the giant ice spider from "Quarantine," the brain parasite from "Parasites," and Debbie's telepresence robot from "Paradise Found."
Cleo saying that she has to pee is a reference to the show's first episode "Wednesday"
When Cleo finds out her best friend, Gozi is Octavian, it might have been foreshadowed in the episode "Paradise Found," where Brian reads and comic about Mistress Punchfire’s arch-nemesis being her childhood friend, Bobo.