I was in exactely the same situation as you with Jesse about two weeks ago. Jesse was also limping and there was an entrance whole in Jesse's paw. I took him to my vet's expecting them to remove a grass seed. However, after examining it carefully, my vet said that in 90% of these cases, they don't actually find anything, so he recommended to put him on antibiotics and see over the following few days how it goes.
He was right, the antibiotics did the trick (and perhaps the homepathic remedy that helps expell foreign bodies) and it healed within a few days and he hasn't had a problem since. I am now glad that my vet didn't put him through surgery when it wasn't necessary.