If Erase mode is pending, but Lost mode isn't – I believe the data on the phone would be protected by Lost Mode and Activation Lock.
If both Erase mode and Lost mode are pending, but you had a passcode lock on the phone, and the thieves didn't know (and couldn't easily guess) the passcode, that would do a pretty good job at keeping them out.
There are a million different combinations of a six-digit numeric passcode, and the thieves might only get a chance to try ten different guesses before the phone went into a security lockout state – from which the only way in would be to erase the phone, wiping the data on it. So their chances of "winning the data lottery" would be a mere one in 100,000. And that's IF the phone didn't get a chance to learn it was Lost. Once it learned it was Lost, their chance would drop from 1 in 100,000 to ZERO (assuming they did not know the Apple ID credentials).
The biggest threat to your data would be falling for a "phishing" message from "Apple" or some such, and giving the "phishing" criminals your Apple Account information. Then they could access iCloud and ransack any data that you had synchronized to iCloud or stored in iCloud backups, even if your passcode was still locking them out of the local copies of data on your phone.