Every living cell in the body is next to a capillary, which is a very tiny blood vessel. ALmost anywhere you stick a pin you're going to hit a capillary and bleed. Nerves carry electrical signals, not blood. If you hit a nerve, you'll know it.
No... blood travels through blood vessels. Electrical signals travel through nerves. If you put a pin just through the surface of your skin where there are no blood vessels, you won't bleed. Go deep enough and you pop a blood vessel. Blood vessels are almost everywhere in your body as all living cells need the oxygen and food that the blood carries (your outer layer of skin is dead).