This is a noted issue with Ticks. When removing them, unless you do it properly, you may end up with the mouthparts left embedded in your skin.. However, even with those, the body will usually deal with it without too many problems.

Mosquito proboscii are much smaller and so I would not anticipate any issues for anyone with a functioning immune system to deal with without ever noticing.

I'd say this is plausible, but not a huge risk. A healthy individual won't have trouble either breaking it down or expelling the foreign matter when the flesh heals (like wooden splinters often do).

I'm not an expert, though, and I'd love for one to chime in on this subject!

I had this happen to me when I was a kid. I was able to get it out with tweezers pretty easily though. It was so small I highly doubt it would have caused issues outside of itching.

Thanks for inventing mosquitoes but worse

One time I fell into a thorn bush then weeks later after I the bad cut on my hand was healed but it was still itchier than that one spot on a dog’s butt they can’t quite reach. It was driving me nuts, I kept scratching and scratching then out shot a thorn that was almost 2 cms long.

Long gross way to say: Our bodies are really good at homeostasis, it’s why tattoos fade

While we're on the topic of mosquitos, is it true that if you flex your muscles while they are slurping away, that the change in pressure will cause them to explode?

The body deals pretty well with tiny objects becoming embedded in the skin. Generally, the immune system breaks it down, and flushes it out of the body through the lymphatic system.

If the immune system can't break it down, fluid will build up. Pus may expel it through the wound it made upon entry. If the wound heals over the object, an abscess may form. Fluid will collect in a pocket, like a pimple or boil. And like a pimple or boil, it will eventually pop, hopefully expelling the foreign object at the same time.