\documentclass{article}

\usepackage{mathtools,xparse,etoolbox}

\DeclarePairedDelimiterX{\RoundBrackets}[1]{(}{)}{#1}

\NewDocumentCommand{\pr}{ O{p} r() }{%
  \def\prArg{#2}% Capture argument in macro
  \patchcmd{\prArg}{|}{\mid}{}{}% Replace | with \mid
  #1\RoundBrackets{\prArg}% Set argument in round brackets
}

\begin{document}

$\pr(a|b) \quad \pr[p_\theta](c)$

\end{document}