Having a calorie defecit will burn fat, mainly through cardio, strength training and diet.
This is what Tom Venuto (bodybuilder/personal trainer) says about it...
"Pilates is great for people who enjoy that type of exercise.
For maximum results, I would recommend incorporating it addition
to a program of resistance training and cardio, not in place
of it. That's not because I think Pilates is ineffctive or
doesn't have benefits, it's simply that some of the claims
being made for certain videos and classes are stretching the
truth a bit (bad pun intended)."