Certainly there is nothing wrong with confessing one’s sins in private prayer to God or to a saint. The only danger of misunderstanding of the sacrament of confession would be if one thought that such prayer was equivalent to sacramental confession. A priest can only offer absolution to a penitent in this life, not from heaven or from purgatory. If privately confessing your sins to Padre Pio helps you to better prepare for sacramental confession, I can see nothing wrong with the practice so long as you understand that you are not receiving sacramental absolution from Padre Pio and so long as you do not neglect sacramental confession in favor of such a private prayer devotion.
