I'm not sure about it, but applying my scant knowledge on Egyptian History and what the game and The Pyramids are about, here's what I think.
The Egyptians built the Pyramids. (Of course, everyone knows that, but just in case...) Also, the Egyptians were especially good at storing extra food (i.e. in granaries.) Since that was not a minor reason the Egyptians were strong in the Ancient Age, (I know, it's not that simple, but bear with me,) that's what the people working for Firaxis decided that would be a time for their Golden Age. So, Egyptians built the pyramids, and they were good at storing grain, and they were strong in the Ancient Age. Put 2 and 2 together and you get the Pyramids giving a golden age to Industrious and Religious (and Agricultural, for C3C,) of which, the Egyptians are Industrious and Religious, and that they give a granary to every city in the continent...
Make sense? It does to my feeble mind.