Working in any industry in Pakistan or Nigeria (both #139 on the Corruptions Perceptions Index) is probably going to be more life-threatening than working for the Danish, Finnish, or Kiwi (tied for #1) defence establishments.
It may be relatable at extremes like you mentioned, but I'd have to see more evidence of a direction relationship between corruption and safety. Of course countries with little to no government will be more corrupt on some NGO's index.
Observing the 2012 Corruptions Perceptions Index scores [1] and the latest year United Nations Office on Drugs and Crime intentional homicide rates [2], one finds an an exponential relationship between the two with an intercept (homicide rate per 100 000) of 19.9, slope of -0.033, and regression coefficient of 0.25 (N=176). See chart [3].
Murder is the most vivid example without adjustmenting for income, but one can trace similar patterns across ambulance response times, food quality, transport efficiency, etc. Transparency International's report on their metric is a good starting point.
Being higher in the corruption perceptions index really means people in that country are consistently better at hiding it, so outsiders perceive it less.
