If you take trouble and do the ultrasound interpretation in real time you will on occasion find a lucent "nipple" projecting from the cyst in the direction of the skin. You can just see it on the top view, superior edge. Its not always present but if you take enough care you will find them. Its a dead giveaway. By the same token I have always assumed this potential connection may actually allow the cyst to develop low grade infection from the skin?

They can become tricky when they are symptomatic. I have seen cases with symptomatic sebaceous cysts where the is moderate increased flow on Doppler and have always assumed low level secondary infection.