The Pythagorean theorem states, for a right triangle with legs $a,b$ and hypotenuse $c$, $$a^2+b^2=c^2$$
By replacing $c$ with $r$, radius this equation becomes the equation of circle at centre $(0,0)$.
How does Pythagoras' equation end up describing the circle?
It is ultimately tied to the notion of distance and how we calculate it in the $xy$-plane that we're familiar with. Imagine placing a right triangle, with sides $a,b,c$, with one vertex at the origin, like below:
Owing to the dimensions, the vertices obviously lie at $(a,0)$ and $(a,b)$ and $(0,0)$ (the latter by assumption of course). Then the distance from $(a,b)$ to the origin is $\sqrt{a^2 + b^2}$ by the distance formula - or, equivalently, $c$ by construction (and the Pythagorean theorem as well).
For each point $(x,y)$ on the circle, that distance needs to remain constant - that distance being the distance between $(x,y)$ and $(0,0)$. That distance is perfectly described by $c$ - in fact, it is exactly the radius of the circle!
Imagine continuously varying $a,b$ so that $c$ remains constant. Then that vertex that's not on the horizontal axis ultimately traces out a circle as a result. We could define this circle $O$ by
$$O = \{(a,b) \in \Bbb R^2 | \sqrt{a^2 + b^2} = c\}$$
to establish the whole "distance to the origin remains constant" thing: after all, that's the defining property of a circle, the set of points equidistant from a given point (here, the origin). Equivalently, though, we see by squaring both sides of that latter equality
$$O = \{(a,b) \in \Bbb R^2 | a^2 + b^2 = c^2 \}$$
making the involvement of Pythagoras that much more clear.