I was about to say something about potential damage to your thyroid until I read that you found you already had problems. That makes perfect sense.
Your T4 levels drop because of your ketogenic diet. You need to up your carbs STAT or you will be facing some more long-term metabolic disruptions. It's real, it happens, and it sucks.
There is no way you're doing a real HIIT session if you can sustain it for 40 minutes. You're probably interval training, which I think is actually more beneficial than true HIIT because it's not as taxing on the CNS.
I would advise you consider extending the period of your cycle. There's not much benefit to a cycle of Anavar that's six weeks long.. I would suggest ten weeks. Having one day at 10mg's won't serve you. I know it seems you would want to take more on the day you're working the hardest, but hormones don't exactly work that way. And with that line of thinking, you're assuming that you're not growing the day AFTER you train legs. Which I know you know isn't the case.
I don't think you're overtraining, but I do think you're overdoing the pilates. It's not hurting you, but it's taking time that can be applied to other facets of your training or resting.
Also, I would up your training to 4x/wk.