Any goat is producing milk for its young, and obviously they must come first if still with the nanny. So, its doubtful that a pygmy feedng kids, will have much milk left over.
Also, have you thought about the actual milking of a pygmy? Being so small they would need standing on a platform, as getting down that low, and pulling on their little teats would be quite a feat!!! I am not saying it cannot be done, but they will probably not produce anywhere near as much milk as the bigger breeds.
Personally, for milk I would go for something a bit larger - if you don't want the big dairy goats, then a golden guernsey may suit better.