Is there anything i can do when a bug bite turns in to a blister?

Yes: Bug bites can turn to blisters sometimes. This is from the intense reaction that the bite caused in the skin. It's best to not pop blisters as this can open the skin to infection. Topical steroids such as Hydrocortisone cream applied under a band-aid can help reduce the inflammation (and intense itching) and minimize the risk of infection. Fortunately, most bug bites improve in a week or so.

Cover it.: I generally don't recommend popping blisters of any kind unless they are painful, because of the risk of infection. If it's not bothering you, cover it with a bandaid. If it itches, apply Hydrocortisone cream 2-3 times a day. If it gets painful or tender, or develops a red ring around it, see a dermatologist.