Is my IPhone infected with Pegasus?

No, your iPhone is not infected with Pegasus. The message is a scam trying to get your personal information. Don't respond to it.

Pegasus is a piece of software used by bad actor governments to track dissidents, problematic journalists, and others. This software costs well over $100,000.00 and your garden variety hacker/thief couldn’t even begin to use it even if they got hold of it somehow.

Bottom line? Unless you are an individual that falls into a very specific category, like being an irritant to a government, you’re not worth the effort. On top of that Apple can tell if a device has Pegasus on it and informs the owners

It is a bogus message and has been reported here many times. You may see one that starts out "Hey Pervert" and claims to have sent the message from your own account. This is a lie. It is meant to scare you, so don't let that happen and don't believe everything that is sent to you. You did the right thing by inquiring about the message instead on sending some spammer money for a problem you do not have.

Just delete the message and enjoy your day. There is nothing wrong with your iPhone and no one has your information.