If you mean under the skin rather than part of the skin then I would agree it is likely a cyst. And if it is a cyst what I would do personally is numb the area with some ice for a while then stick a hyperdermic needle in to it so it can drain. Cysts are fluid filled sacks.
Silica and vitamin C would also be good internally to help strengthen the tissues and reduce the irritation and inflammation.
Hi - 2 photos if they help identify what type of lump it might be? - the broken skin is my doing - I was cutting at it last week unfortunately im not left handed so gave up.
I still think it is likely a cyst. In the first photo it actually looks like it has a bit of a head, which means there could be some trapped pus in there as well. If it were me I would still stick a needle in to it and see if it drains.