From the NHS website:
"Leave blood blisters to heal naturally. If a blood blister bursts, keep the area clean and dry. Protect it with a sterile dressing to prevent infection.
Blood blisters are often painful. Applying an ice pack to the affected area immediately after the injury can help to relieve pain. Apply the ice pack for between 10 and 30 minutes. To make sure that the ice doesn't touch your skin directly, place a towel over the affected area before applying the ice"
http://www.nhs.uk/Conditions/Blisters/Pages/Treatment.aspx
But I'd still prick it anyway!