Gaseous Electron Multiplier detectors, or GEMs, show promise for use on space-based X-ray missions. Operating pressure strongly affects the gain of the detector and must be optimized for best performance. We have measured the gain characteristics of a GEM detector at various pressures below atmosphere using a mixture of Ar:CO2 with the goal of maximizing gain to push GEM capabilities to the lowest energies possible. This paper discusses our tests, results, and their implications for choosing a detector pressure. We found that at any operating pressure the detector voltage can be adjusted to achieve roughly the same maximum gain prior to the onset of electrical discharges. We also find that the gain varies substantially by spatial location across the detector, but this variation is insensitive to changes in pressure allowing it to be calibrated and corrected if necessary. The detector pressure can therefore be optimized in the interest of other performance parameters such as leak rate, window stress, power requirements, or quantum efficiency without concern for negatively affecting the gain. These results can inform the choice of operating pressure and voltage for GEMs used onboard future space missions.