In the Marvel Comics origins of Ultron yes Henry Pym did in fact create Ultron despite Tony Stark stating that he created him. Two explanations exist for this "altered" origin:
1. In "Next Avengers" his origins were altered to meld better with the story
2. Tony Stark lied to try and hide from fact that one of the next (generation) Avengers' fathers created the current situation the world was facing.
