The fact that bathing changed the colour makes me think it is attached to your hedgie's skin -maybe blood gushed into it changing the colour from pink to red? Did the colour change back to pink a few hours after the bath? My understanding is that hedgie's quills are like our hair but made up with multiple air compartments inside, so this "thing" can't be a quill if blood is gushing into it. Is it possible it's like a wart of some sort?
At any rate, I'm sorry I can't offer any answer to your question. I'm very curious as to what it is myself. Are you taking your hedgie to a vet to check this out? If so, please keep us posted on the diagnosis. I hope it's nothing serious... Good luck.