Pygmies are known as a little more social than Centrals and keeping females together in a good sized enclosure should be fine. Just have a spare enclosure or temp tub available if there are signs of trouble. I am keeping 2 pygmies together atm with no problems
I have 2 pygmy's together not sure what sex but sometimes one dominates for food and they kinda rotate with that but other then that there fine I usually feed the dominate one in a tub so the other one stays comfortable with feeding in there enclosure