What could cause painful skin on my leg above my knee? No redness just painful even for a blanket to touch. Same pain was on top right foot 2 weeks ago.

Nerve pain. What you are describing is a type of nerve pain. It would be good to know what other symptoms you are presenting. Depending on the distribution of pain and how it all started we could tell if this is coming from your spine, if this is related to shingles, among other issues.