The "funny bone" isn't actually a bone at all! It's a nerve called the ulnar nerve that runs along the outside of your elbow. When you hit or bump this nerve against the humerus bone in your upper arm, it creates the strange burning or tingling sensation that gives it its name.
This sensation is not actually caused by the bone being hit, but by the nerve being compressed or stretched.
The pain is temporary and usually subsides quickly.
