I'll bite on this,
The chances of anyone exploiting the GPIO is very unlikely, some random attacker would need to know you are using a Pyra and extremely specific details of hardware and how set this GPIO in the software. The Pyra is one of the rarest handhelds on the market and some random stranger knowing any of these details are unlikely.
The so called attacker would need to have access to your network, with dynamic and ever changing network addresses. If the modem is off, there is no access, if you are on WIFI, your router and the network you are on is already compromised. This is assuming that there is a hole that would allow ssh access or other means to set this value. Most likely remote SSH access could be restricted on the cell modem device by default.
So if all this happens and somehow you are compromised, there is an LED indicating that the modem is on, it's wired in line to the power to the modem, there is no way of software controlling it to hide the fact that it's really on when you think it's off.