Interesting. I've always viewed it as a slightly clever term connoting the region's heavy reliance on the steel industry in the past and the undeniable economic/demographic decline that followed.

I obviously don't know about Pittsburgh, but it is absolutely not viewed as a perjorative in some other cities typically considered part of the rust belt.

An addendum to my sibling comment here:

A cusory web search turns up indie bookstores, restaurants, literary publishers, community groups of various sorts, etc in Buffalo, Cleveland, Detroit that embrace the term "rust belt". I didn't easily find similar results for Pittsburgh, so maybe yinz do have a different take on it. But please don't assume others intend "rust belt" as a pejorative, and please consider recognizing that as it's not widely used pejoratively, you may have limited success convincing others to stop using it.

I've only ever heard Californians and New Yorkers use the word pejoratively, like in OP's context.