Korg's thorns deals physical damage and upon testing with champions like Red Hulk, physical resistance reduces that damage. The physical resistance mastery also appears to be working correctly to reduce the physical damage from Korg as well.
Luke Cage has a passive ability that says: +1366.67 Physical Resistance against non-Critical Hits.
But Luke Cage does not take any less damage from Korg's thorns mechanic. His profile says this is a passive, and doesn't state anywhere that he only gains the physical resistance when being struck. So I think this is either a bug, or his description should be updated to indicate that he only gains physical resistance when struck if that is the case.
Thanks for looking into this!