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What he said. You should not be injecting into the top or inner thigh. If you want to stick your thigh, which is what I normally do, go for the vastus...the middle third of the outside of your thigh. Not too close to your knee or hip. The upper, outer quadrant of your glute is also a good spot with few large vessels and nerves. Some people like to hit their deltoids...up to you, but you gotta know and pick safe sites!
What did you feel as you injected? If you hit a nerve, you would most likely (but not certainly) have felt a shooting pain as soon as you stuck yourself. Most people know immediately when they have hit a nerve.
"Stabbing, shooting, down to my ankle" does sound neurological. Just to be sure though, is there any redness at the injection site? Swelling? Hot to touch? Those things are big red flags for infection and if you have them, you need to find an ER pronto. If you don't have any of those, I would still recommend consulting a good doc if your symptoms don't resolve soon.