It feels like I'm being pricked with a pin all over my body, does this have to do with my nerves?

Probably Nerves. The pin-pricking sensation you're experiencing could be due to a number of different causes. Something simple, like a medication reaction can cause paresthesia (the term for a sensation despite the absence of a stimulus). Paresthesias can be due to vitamin deficiencies, supplement overdoses, metabolic disturbances or neurological conditions. I would recommend a neurological evaluation.
Neuropathy. This is likely related to the nerves in your body and probably represents a "neuropathy." the list of potential causes is vast--from things like toxic exposure to vitamin deficiencies. One of the more common causes is diabetes.