If the person you are speaking to can see you point to the number (printed, written, on your PC screen...), then say, "Is this correct?".
Otherwise, say, "Is that correct?".
You use "this" to indicate something in close proximity to you, especially if you can touch or hold it, but also to simply distinguish "this" item from another item further away. If the thing you wish to indicate is away from you, then you can indicate "that" item. The choice between "this" and "that" for physically present objects is based on their relative positions to you, not necessarily on any arbitrary, measured distance scale.
In the case of the phone number, I've never really given much thought as to why we use "that". All I can come up with as a conceptual explanation is that it isn't the actual number (on your screen or list) that you are checking, but rather the information you have just transmitted orally along the phone line to the remote person. The "fact" you are checking is far from you in this sense, so "that" becomes appropriate.
I might end up eating crow on that one, but that's the best reason I can think of.
