It sounds like you got a skin for a vehicle you don't have unlocked yet. There's multiple types of vehicles in Borderlands 2 (not just Machine Gun vs Rocket Launcher), and skins only work for one vehicle.
You can check the vehicle your skin is for before you use it, but once you use it you'll only see it when you see the skin in the menu. Skins are unlocked regardless of whether you're using the class/unlocked the vehicle in question, and they're unlocked for all of your characters.
Keep playing and you'll get the vehicle the skin matches. The skin should show up with "NEW" next to it when you unlock the right vehicle.