Given what Vina said in the horse illusion, it's reasonable to assume that she's right about him: he's curious about Orion because it represents a lifestyle that he can't have.
Then again, one plausible sequence of events is this:
* Pike seriously considers doing reputable trading on Orion, there being nothing exotic about it as such.
* Boyce makes fun of this, pointing out that Orion is also home to disreputable things (or then not - perhaps it's just a comical stereotype, like everybody from Louisiana making moonshine for celebrating marrying his daughter).
* Pike ignores the jab, but his subconscious absorbs it.
* When called forth, the subconscious is eager to embrace the idea of Pike as an Orion slave trader, quite regardless of whether such things even exist for real.
Orion slave trade doesn't get any further mention in aired Star Trek; rather, it gets a prequel of sorts in ENT. Perhaps the phenomenon was in the distant past already when Pike was born?