In this article, a millimeter-wave gyrotron using a metal photonic band gap (PBG) cavity as its RF interaction circuit is studied for its tunability. A PBG cavity operating in a TE7,2-like mode is designed and analyzed for its mode selective property at ~260 GHz. Particle-in-cell (PIC) simulation of the PBG gyrotron predicted a continuous wave (CW) RF output of ~121 W in the desired TE7,2-like mode with an axial mode number, $q = 1$ . Furthermore, the tunability of a PBG gyrotron is studied by varying the magnetic field, which, in turn, varies with the axial mode number of the desired operating mode. A broad continuous tunable bandwidth of ~1.5 GHz is obtained for more than ~1.5 W of the output power. The designed PBG cavity is thermally analyzed to study the structural deformation of metal rods and its effect on the performance of the tunable gyrotron.