I have a small painful cyst like lump on my labia majora ?

If painful: the cyst may need drainage at your doctor's office. Setting warm water/epsom salts soaking, can help in meantime.

Doctor can evaluate: Vulval lumps and bumps may be cysts filled with dead skin cells and/or oily sebaceous gland secretions. Sometimes an infection happens if bacteria get inside the bumps and cause white blood cells to go there (causing pus). A primary care doctor, a dermatologist, or an Ob-Gyn doctor can evaluate and give some recommendations.