The Fairy Investigation Society (Newsletter 12) has looked into the matter. This belief does not seem to have its origin in early folklore, though the idea seems quite widespread. The earliest suggestion that Fairies ride on corgis seems to come from literature in the form of a poem called Corgi Fantasy by Anne J. Biddlecombe. It was published in 1946. It would seem to be lore from literature. I am sure it is not the first time that something literary has edged its way into folklore.