This is generally nothing to worry about, the bite of insects such as gnats, mosquitos, mites, midges and gnats are all known to cause blistering.
None of these are particularly harmful.
Blisters after bug bite
Sometimes these blisters may be fluid-filled, but other times they won't. Most blisters are a reaction to irritants released in the saliva of the insect, a localized way of your body dealing with something "foreign" trying to invade it is to build a barrier around the unknown substance - and sometimes this is in the form of a blister.
If symptoms progress or you experience swelling or serious discomfort you should seek medical advice though.
