Why are some people with pneumonia at risk for cachexia?

Cytokines: Chemical substances released from inflammatory cells have a tendency to suppress appetite. It should not result in cachexia unless this is a very chronic and long-standing severe pneumonia. Strongly suggest looking for other reasons.

Its the reverse: Cachexia is a sign of either nutritional deficiency or severe chronic underlying disease which releases inflammatory compounds that cause loss of muscle tissue and body mass. A large number of diseases do this, like cancer and advanced heart disease. This condition will lower the ability to fight infection and increase the risk of all infections including pneumonia.