Is the abdominal pelvic CT scan with dye a risky thing to do?

In general, NO. A ct scan involves radiation, which is of minimal risk although pregnant women should probably delay nonemergent ct. "dye" or contrast as we call it, is also very low risk, however certain people have "contrast allergies" which can range from hives/itching all the way to catastrophic swelling and blood pressure loss which can lead to death. If you have severe allergies, tell your doctor before.
CT abdomen/pelvis. This test is a common routine imaging procedure, essentially a fancy 3d x-ray. While there is more radiation than an x-ray, if you are having symptoms that warrant this examination there is nothing to worry about. Having multiple ct examinations because of the repeated radiation can be worrisome.