Don’t know this for sure, but I think sebaceous cysts can occur on any part of the body. Normally I’d advise anyone with problems in this area to see a Urologist, but I think in your case, it might be best to consult a dermatologist. I’m thinking whatever treatment they use for cysts in other areas would still apply in your case. Please let us know how things turn out...
Did you get it removed? I've heard a warm compress can help. Have you tried that?