Pygmys don't need a lot of space but they do need good fencing. The smaller the space you fence them in, the more likely that you will need to purchase more hay and such to keep them. It is hard to say how much they will need to be fed without knowing how much natural forage you have to offer in the space. So how much space you need for them kind of depends on how much hay you want to buy. You will probably have to buy hay through the winter. If you breed them to get milk, then you need to feed them more during that time, a significant amount more. Goats like to eat weeds and such, not so much grass, but you don't really want them eating weeds while lactating because some of them make the milk taste off. A pygmy is pretty small to milk so I hope someone in your family has small hands. My goats are mini-nubians, much larger,and my husband cannot milk them as his hands are just too big.
I'm not a goat expert but I hope my small experience is helpful to you.