Yup, I have had all sorts of skin sensations with neuro lyme and herxing.. skin burning and lots of tingling and pins and needles. Hang in there...Mine also got worse with exercise - figured the increase in body temp. killed off some more of the skum sucker..
Make sure you're not having an allergic reaction to Doxy. I had a horrible itch all over and would scratch hard when I slept. I also developed boiled on my chest. It all cleared once I stopped Doxy and went on other meds. Check with your doctor.