If you build a unique improvement that generates happiness, you can then overbuild with a Step Pyramid. I've done this with the Festival Grounds, but see no reason it wouldn't work for the Pairidaeza or the Han Great Wall.
Of course, this makes Step Pyramids about 50% more costly - and they are already quite expensive. I think of this as a good strategy for Civs with extra gold/production that want to go over the settlement limit in Antiquity, like Egypt or Carthage.
Of course, this makes Step Pyramids about 50% more costly - and they are already quite expensive. I think of this as a good strategy for Civs with extra gold/production that want to go over the settlement limit in Antiquity, like Egypt or Carthage.