He seemed to really love (or at least be infatuated by) Lucy Gray, choosing District 12 to be his preferred exile after being banished from the Capitol for helping her survive the Hunger Games. And it’s hardly a choice at all between being just another Peacekeeper, a fascist thug in all but name, and running away with her to the wilderness—especially because his fingerprints are on the gun that killed the mayor’s daughter.
But when they reach the cabin in the woods, Corio finds the guns that Serjanus smuggled to the District 12 rebels, including his own murder weapon. In the book, Lucy Gray seems as surprised as Snow that the guns are there, but in the film she guides her lover right to them. It’s a test. She clearly caught him in a lie when he admitted he killed three people that summer “and that’s enough for one lifetime.” Who was the third, Corio? He cannot confess it was Sejanus, who he sold out like a classic Judas, but his evasions are obvious.
The gun is his final test, and at least in the book he fails it immediately. When he goes out in the rain looking for Lucy Gray, he is surprised to see he’s carrying the gun. He realizes how it looks and tells himself to put it down. But he doesn’t. Due to reading his inner-monologue, we understand that as soon as he sees the evidence that’s caused him to flee from civilization, he is relieved. He decides on the spot that he’ll go to District 2 and officers school; he will leave Lucy Gray after a single day of roughing it in the woods; and he will not forsake the comforts of power to build a roof with a girl he’s smitten with. He even concedes he doesn’t know how to build a roof!
So he walks out with a gun, and slowly begins rationalizing to himself that he cannot trust Lucy Gray to keep the secret about the mayor’s daughter. It is the same mental baby steps he took to rationalize sending Sejanus to the hangman’s noose.
In the film, there is more ambiguity about Corio and less about Lucy Gray. He carries the gun out of the cabin solely to throw it into the lake, and thereby hide the evidence of one more murder. He doesn’t seem the least bit homicidal about Lucy Gray until he discovers her scarf—and the snake beneath it. Only after lifting the scarf and being bitten does he turn violent, ready to slaughter the woman he saved from the Hunger Games in their own intimate recreation of the gladiatorial event.
Either way, the point is Corio makes assumptions about Lucy Gray and himself. He doesn’t turn to evil because of external forces. No one else is to blame. While he did a good deed in saving Lucy Gray’s life in the Hunger Games, it is because he was infatuated by her; but then, everything he does is out of an act of selfishness. For a brief moment, protecting this songbird was part of that selfishness, and he even murdered for her on the night they discovered the smuggled guns.