I am no expert as I have only been on Copaxone for 5 months, but I also think you might have hit the muscle. That hapenned to me on my very first injection and strangely, the SS nurse would not say that is what might have hapenned. I ended up not liking the auto-injector and I now do manual. That way I am sure I don't go into the muscle by really pinching away the skin and fat.
Manual does take some getting used to, but it does become as easy as the auto-injector. It also gives you full control of how fast the liquids gets injected, it prevents me from getting bruises.
I would not hesitate to talk to Shared Solutions about the problem and if you would like to try manual injection, ask for a new visit from the nurse.
I hope that helps.