Only happened to me with muscle shots, subq was usually fine. Sounds like you might have hit a vein.
I am on a second round of this and after the second-to-last shot from a 10 mg vial at 2.5 mg I started dry heaving violently for several minutes right after rubbing the area. I got very hot and the injection site developed several raised hive-like bumps. Once the heaving stopped I took a 10 mg antihistamine, sat down, and began feeling better; the hives disappeared and even the usual red itchy lump I normally get for a day was gone. It was pretty startling. Has anyone gone through something like this?