It also depends on the size of the tank. I would put them with him if hes in less than a 5 gal., and in a 5 gal. I'd only have 2. Being as corys should be in a group of 4-6 a 10 gal. is much better.
I have had Pygmys with Betta's before and they have been fine ( these have been 10+gallon tanks though). Duno how they woudl behave with such a tiny fish in small tanks.