When you actually pop a mosquito bite, and what comes out is clear, is that venom from the bite or just the oils on the skin?

Neither one: First, you should never "pop" a mosquito bite. All that will do is prolong the inflammation, itching and pain, and delay healing. Second, mosquitoes have no venom. Third, if popped, any fluid that comes out is the body's own natural fluids that have accumulated at the bite as part of the immune system's response to it. That is, neither venom nor skin oils.