It would look like a small splinter - but it's unlikely to be in you as wasps have a smooth sting, not barbed like that of a bee.
How Do You Find Out If The Wasp Stinger Is Still Inside You?
How do I know if the stinger is still in my arm? When the wasp stung me I hit it sideways so fast I think I cut it in half and then sent the wasp on his way (with the other 1/2 of the stinger)