Sorry you are dealing with this. Hemorrhagic cysts are benign (non-cancerous) and usually go away on their own. If the cyst is leaking or ruptures, it can be very painful. If the cyst is not too large, the typical plan is to monitor it via periodic ultrasounds. Hopefully, your doctor will give you something for the pain.
You do not want to have surgery if it is not necessary. For one, doctors without good cystectomy (cyst removal) skills may have to remove the ovary which can have the effect of reducing fertility and also negatively affect long-term health (since ovarian hormones are essential our whole lives for every aspect of health). Also, surgery has its own risks and can also cause scar tissue which can damage the ovary and cause other issues.
Hope this cyst goes away soon and you can get back to normal.