It's perfectly legal to fly flags of states, cities, corporations, or organizations as long as they're flown beneath the US flag. Not sure why that shouldn't count for the pride flag, too. There's nothing forbidding it. https://www.law.cornell.edu/uscode/text/4/7

"When flags of States, cities, or localities, or pennants of societies are flown on the same halyard with the flag of the United States, the latter should always be at the peak. When the flags are flown from adjacent staffs, the flag of the United States should be hoisted first and lowered last. No such flag or pennant may be placed above the flag of the United States or to the United States flag’s right."