What complications can develop from using a epi-pen?

Nohing significant: Epi-pen is used for treating anaphylaxis. Side effects can include paleness, vomiting and a rapid pulse. All these "pale" in comparison to not using an epi-pen for anaphylaxis which can result in death (pun intended).

Stuck it in my thumb: The only adverse effect i've seen to Epipen (epinephrine) is when the directions are not followed & the device is held backwards. The needle can pass right through your thumb & nail. Worse you can get Epinephrine inside your thumb causing pain & decreased blood flow. Otherwise Epinephrine is a very safe drug. Vomiting, dizziness & occasional jitteriness are the only side-effects in children & young adults.