Long story but similar; I was stung by a buck moth caterpillar that broke off it's poison spines in my leg. Every time I moved the wrong way the spines stung me again, the poison sacks are attached to the spines. I tried scraping them off with a knife but this was a mistake, I apparently broke them off even with the surface of my skin.
Weeks later I was still being stung a dozen times a day. I should have googled the subject earlier, when I did they recommended covering the area with scotch tape, I tried this but it didn't work, I was still being stung.
The poison is a nerotoxin, several months down the road the area where I was stung had gone numb.
The stings became less and less but still happened every now and then.
I tried a Bikini wax kit to remove the spines with no luck.
My son suggested a Biore Black head remover strip, I tried one of those and got two spines out, the one that was the longest when viewed under magnification had multiple fish hook like barbs all around it.
When I got the spines out the stinging stopped, a year and a half later I have a permanently numb spot below my knee where I was stung.
Perhaps a Biore strip is the way to get difficult splinters out of your skin.