i highly doubt that was from a rose thorn. I have gotten pricked by all kinds of thorns and they have never looked anything like that ever.
It definitely has to be from some sort of bug. My mom a few years ago got stung from some sort of bug, but we didn't see what it looked like, she claimed that it REALLY hurt, and some other symptoms i kinda forget, and it looked very similar to that, other than the one my mom got looked more like a goldfish cracker shape.