Where in Pygmalion do we find specific examples of courage?
One character in Pygmalion who demonstrates courage is Eliza. When we first meet her, she is scolding a gentleman (Freddie) for bumping into her--something someone of her class should probably not do. Then she stands toe-to-toe with Higgins in their conversation about dialect. She does begin to wail several times, of course, but she does assert herself in the company of two men who are clearly representatives of a class higher than hers.
It's true she has little or no idea what she's getting into, but when Eliza goes to Higgins's house to begin lessons in speaking, she is not cowed by much of anything. She is dirty and lacking so many of the outward qualities of a lady, yet she goes and--more importantly--she stays. Despite the abuses and tirades of her teacher (Higgins, of course), she perseveres. All of her experiences and failures are the events of the play, and she manages to become the same lady on the outside as she is on the inside. It's Eliza's courage which allows her to endure and excel for her own advancement.