I know what you are talking about with the color, but please keep in mind that a pure bred pygmy will have some black on it's hooves, face and usually a dorsal stripe...if this little goat doesn't have the dark markings and is not registered, then you likel;y have a nigi/pygmy cross...I have a pic of what the blue roan and white is...my little buck, Teddy, would be considered a roan and white.
They would probably do as all goats do with newcomers. Fight and figure out who is on top. I would watch them closely though. We personally do not mix little and big goats, but I know of some who do, with success.
If you can get her a little Pygmy wether, that's a good idea. To keep her company. Can't wait to see her!