Actually, the Jewish captives in Egypt seem to have been building cities in the Delta, not pyramids (which are much older than the Hebrew captivity, mostly Old and Middle Kingdom) or royal tombs (which by this period were at the Valley of the Kings opposite Thebes, far to the south).
There are several specific records in support of this position. Mainly that Exodus records that they were making bricks of mud and straw not the stuff that the pyramids were made of. Also, recently on the History Channel there was a film showing archaeological evidence of the Israelites' presence and work in the Delta, far from the pyramids. And the biblical record would suggest that the main purpose of the oppression was to keep the people subdued, not necessarily to build things of importance. And the story of Moses' rescue from a basket in the river among the reeds fits with the delta area, not with the country around Thebes where the monuments were built. This is not to deny the possibility that Hebrew slaves might have been requisitioned for part of the huge work force which built the monuments. The counter to that is that recent archaeological evidence seems to show that the builders of the monuments were very well paid and housed, not the kind of treatment recorded for the Hebrew slaves.