I wouldn't put pyrex on a heat source. I may be all wrong but from what I understand of pyrex is that it's designed to take lots of heat from indirect sources; but if you put a direct source of heat I'm not sure what will happen.
All that being said, you could try it. If it works, fine. If it doesn't, then you're out the cost of the pyrex, the heat source and whatever you had in the pyrex cup.
Oh; almost forgot the mess you'll have to clean up; lol.
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