I would advise you to start using astropy. For the purposes of your project the astropy.wcs package can help you write a FITS WCS header, and the astropy.io.fits API is basically identical to the pyfits one you are using now. Moreover the help pages are excellent, and all I'm about to do is translate their WCS building page to match your example.
To your question: FITS does not "tag" each pixel with a coordinate. I suppose it is possible to create a pixel lookup table or something like that, but the actual WCS is an algorithmic translation of X,Y pixels to astrometric coordinates (in your case "Galactic"). A nice page is here.
The example I would point you to is here:
http://docs.astropy.org/en/latest/wcs/index.html#building-a-wcs-structure-programmatically
And here is my untested pseudocode for your project:
# untested code
from __future__ import division # confidence high
# astropy
from astropy.io import fits as pyfits
from astropy import wcs
# your code
H, xedges, yedges = np.histogram2d(glat, glon, bins=[ybins, xbins], weights=Av)
count, x, y = np.histogram2d(glat, glon, bins=[ybins, xbins])
H/=count
# characterize your data in terms of a linear translation from XY pixels to
# Galactic longitude, latitude.
# lambda function given min, max, n_pixels, return spacing, middle value.
linwcs = lambda x, y, n: ((x-y)/n, (x+y)/2)
cdeltaX, crvalX = linwcs(np.amin(glon), np.amax(glon), len(glon))
cdeltaY, crvalY = linwcs(np.amin(glat), np.amax(glat), len(glat))
# wcs code ripped from
# http://docs.astropy.org/en/latest/wcs/index.html
w = wcs.WCS(naxis=2)
# what is the center pixel of the XY grid.
w.wcs.crpix = [len(glon)/2, len(glat)/2]
# what is the galactic coordinate of that pixel.
w.wcs.crval = [crvalX, crvalY]
# what is the pixel scale in lon, lat.
w.wcs.cdelt = numpy.array([cdeltX, cdeltY])
# you would have to determine if this is in fact a tangential projection.
w.wcs.ctype = ["GLON-TAN", "GLAT-TAN"]
# write the HDU object WITH THE HEADER
header = w.to_header()
hdu = pyfits.PrimaryHDU(H, header=header)
hdu.writeto(filename)