I feel bad for Sajanus
After reading the entirety of The Ballad of Songbirds & Snakes - I felt really bad for good ol Sajanus.
In his mind, here is this dude from the capital, whom not only is friendly to him, someone from the districts, but seems to have no prejudice at all.
In his eyes, Coryo is a gallant knight who openly shows his affection to someone from the district. He eats with Lucy, holds her hand and even kisses her, in PUBLIC. It's not hard to see why Sajanus would become so loyal to him.
Not only that, but Coryo risk his life to ensure Lucy wins her game and throws away all the glory and fortune to follow her into district 12. What a hero Coryo must have been in eyes of his only friend.