If player plays Pyke from hidden and pays the cost, can I react to that with Gust before it gets +3?

Yes, you can react to Pyke, Dockside Butcher with Gust after it is played from hidden, but there is a nuance regarding the timing of the Might buff.

According to RiftJudge FAQ #11017 and the mechanics of playing from hidden:

The Sequence

1. Playing Pyke: Your opponent plays Pyke, Dockside Butcher from Hidden. The unit enters the battlefield.
2. Triggered Ability: If they paid the additional cost ([C]), Pyke's "When you play me" triggered ability is placed on the chain to grant him +2 [S] (Might) and ready him.
3. Reaction Window: Because there is an item on the chain (the triggered ability), the game state is Closed, creating a window for you to play [Reaction] speed cards like Gust.
4. Reaction: You play Gust targeting Pyke. Gust is placed on the chain on top of the Pyke trigger.

Resolution (LIFO)

According to Rule 404.1 and the standard LIFO (Last-In, First-Out) resolution flow:

1. Gust resolves first: Gust checks the target. If Pyke currently has 3 Might or less, he is returned to his owner's hand.
2. Pyke's trigger resolves: Pyke's ability attempts to resolve, but because Pyke is no longer on the battlefield, the ability fails to find its target/source and does not grant the +2 [S] or ready him.

Important Note on Might

If you play Gust, note that Gust can only return a unit with 3 Might or less. Pyke, Dockside Butcher enters the board with 2 Might. If his triggered ability had already resolved, he would have 4 Might (2 base + 2 from ability), making him an illegal target for Gust.

However, because the trigger uses the chain, you gain a priority window to play Gust before that trigger resolves. As long as you play Gust while Pyke is still at his base Might (2), he is a legal target and will be returned to the hand before he ever receives the buff.