When you squeeze your finger after pricking it, your body detects that you have a hole in it, and releases a chemical to plug the hole to stop the leak, which can then contaminte the blood sample.
Some thing I had long forgot about until the other day when ordering a new meter and it cropped up in the conversation with the company.
Blood obtained via skin puncture is a mixture of undetermined proportions of blood from arterioles, venules, capillaries, plus interstitial and intracellular fluids. For BG testing, you want as good a supply of capillary blood as possible. If you look down this page your will see a section entitled Top 10 Keys to Obtaining a High Quality Capillary Blood Specimen