They are a lot of work to take care of but I'm afraid you're out of luck. In 2012, 19 states had outright bans on private monkey ownership. They are California, Colorado, Connecticut, Georgia, Kentucky, Louisiana, Maine, Maryland, Massachusetts, Minnesota, New Hampshire, New Jersey, New Mexico, New York, Pennsylvania, Rhode Island, Utah, Vermont and Wyoming. If you live in one of these states and have your heart set on a monkey friend, you may have to think about moving.
I'm not sure about your area specifically, but in a lot of states owning a primate is illegal and you'll probably at least need a permit, but maybe not.
Most people think it's inhumane to keep a wild animal, which I don't really understand. Any pet needs adequate care, including wild exotics like monkeys, so a responsible pet owner will do their research and put lots of work into it. Their happiness won't be affected, because it's just an animal, so it will be happy as long as it gets enough exercise, mental stimulation, social interaction, good nutrition, and can carry out it's most important instincts.
Pygmy monkeys are really small and their conservation status is "least concern", so if it's legal and you can care for one, go for it. Just make sure you've done lots of research, LOTS of research.
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