I use play sand for corydoras, as it is inert (made of silica) and very fine (best for their whiskers).
The "pockets of gas" thing simply isn't a real issue IMO. If you have healthy plant roots, anaerobic (no oxygen) pockets probably wont form anywhere in the substrate.
Plant roots oxygenate the substrate. If you have very deep sand and no plant roots, then if left undisturbed anaerobic pockets would certainly form in the sand. This would happen regardless of what substrate you used, and could happen faster if you included any organic material or used a special planting substrate instead of play sand.
If you decided to go for a very deep play sand substrate for some reason, any potential pockets of gas would cause
no harm whatsoever. The aerobic conditions in the sand would actually help clean the water as anaerobic bacteria can consume nitrate. Many aquarists (especially marine) actually WANT a deep sand bed with gas pockets for this reason. Just Google "deep sand bed".
If an anaerobic pocket of gas is disturbed...it will simply float to the surface and cause no issues. Some people claim the gasses are toxic - they instantly become detoxified upon contact with oxygen in healthy aquarium water though, so unless your fish are already dying and gasping for hair there is no risk. On top of this...it would be pretty hard to disturb any anaerobic gas pocket as they only form in the deepest areas of the sand which are least disturbed. You would need to be digging right to the bottom of the substrate and it is obviously hard to do this accidentally with deep sand.
The only other option for a courser sand than play sand would be "pool filter sand". This is more expensive to buy in small amounts, harder to source and not as good for corydoras.
Just go for play sand
.