Charles Russell, founder of what would become JW's, believed that the Great Pyramid was God's Stone Witness and that it and the Bible were tied together. Interestingly, he used it to support (though not derive) his dates for Jesus' return, both 1874 and 1915 (later revised to 1914). The publications that used measurements from the pyramid to point to the 1874 date were subsequently revised to point to the 1915 date. Hilarious in retrospect, but people bought it then and continue to buy this sort of oops-sorry-we-were-wrong-but-we're-right-now logic today.
You can read the whole history as documented by JW's own literature at: http://quotes.watchtower.ca/pyramid.htm
Incidentally, most JW's do know about the pyramid thing, but they consider it an historical oddity, a pet theory of Russell's. They partially admit it in their most recent history book, "Jehovah's Witnesses: Proclaimers of God's Kingdom". Jw's are masters at historical revisionism, so anything they write about their own past is almost surely colored.