The play Pygmalion, by George Bernard Shaw, belongs to the genre of Romanticism, which composed most of the mid to end of the 19th century literary scene.
The reason why the play falls under the Romantic genre is because it uses reality as the conduit of the plot. Contrary to what most people thing, Romantic literature advocates realism. It is not romantic in the sense of love or the fantasy of love. Quite the contrary, Romantic literature will often deal with crude and cold topics that would make the typical "romantic" person shriek.
The themes in Pygmalion demonstrate this tendency in Romantic literature to treat real rather than fantastic topics.
One of them is how a classicist society is prone to live under appearances. As a result, a society such as that of Eliza's and Higgins's proves to be hypocritical and superficial enough to be easily fooled to think that Eliza is a duchess only by the way she talks.
Similarly the play treats poverty and the sad living conditions of the poor in Victorian England with the crudeness that characterizes it. London, its classicistsociety, its obsession with appearances, and its hypocritical system of values, is a world of extremes. Eliza belongs to the extreme poor: Those who can only aspire to reach less than midway and acquire less than nothing. Even after Liza becomes reformed she loses her "place" within the society that she has always known because now she would be shun by her former peers. However, there is no place in society for a newly-reformed girl unless it is through the act of marriage. Even marriage is treated realistically. We do not see a blushing bride in Eliza, but a woman who has to really think about who to choose as a husband for the sake of not losing sight of what she has now become.
Finally the topic of gender is rife in the play and the way GB Shaw treats it shows its crude reality. We are shocked as readers to see how Higgins calls Eliza all kinds of names under the sun, and how he treats her, literally, as a second class citizen. Although Eliza is strong she still allows this treatment because in her world the man is always right.
Topics that are often tough to talk about are the bread and butter of Romantic literature. This genre shows things for what they are and does not aim to add color, atmosphere nor dimension to what is real: It shows words, people, and situations just the way they are, whether they are hard to accept or not. This is why Pygmalion and the themes that are treated in the play are prime examples of Romantic theater.