My injection site did this the first few times I had T shots, which were given by the doctor.
When I injected myself for the first time, I injected a lot slower than the doctor did and I had no lump or lingerering pain afterwards so in my case I think it was from the oil being forced into my tissues too quickly and causing minor damage which equaled pain and a lump until it healed. Try injecting slower next time and see if anthing changes.