Its a burn blisther not a cyst. (Cyst = Any closed cavity or sac that is lined by epithelium often contains liquid or semi-solid material. Burn blister are not lined by epithelium so its not a cyst)
Visit this
MedlinePlus Interactive Tutorials: Burns
Answer to your question lies below
http://www.worsleyschool.net/science/files/blister/page.html