If teasing is a game you two play for sexual fun, then why not. I've never seen or heard about blue balls happening, and have only heard stories about how it may happen (usually from those who rarely ever had sex). But no one I know actually had the problem, certainly not from teasing.
However, if you do it without his consent, maybe because of the power trip or just for your fun (not his), then it's best to be avoided. It will only frustrate him. If it's a long game before the grand finale, then why not, provided he enjoys it.