Welcome to the forum. I'll try to help.
Responding first to the title you chose for this question, before reading the question itself: It is exceedingly unlikely anyone could ever catch HIV from having a massage, despite "broken skin". STDs are not transmitted by hand--skin contact of any kind.
Now I have read the question. My initial reply remains correct. They call them STDs because you have to have sex to transmit them -- and you did not. Even if your highly unlikely scenarios were true -- if the masseuse had an STD (including HIV), if her previous customer was infected, if she had performed oral sex on him, if she had not washed properly, if the sheet was wet with semen -- none of those things could have resulted in catching any STD.
So don't worry about this. If this is your only concern about STD/HIV exposure, there is no need for testing and no reason to say anything to your girlfriend; you can continue unprotected sex with her with no risk.
Regards-- HHH, MD
Dear Dr HHH,
Many thanks for your reassurance, and this service. Can I just completely confirm that even with her sitting on me with broken skin on my leg (and potentially no underwear) that the above would hold.
If so I'll choose where I get massages much more carefully from now and will aim to move on from worry.
Best wishes indeed.
I saw all the details of your question and took them into account, including the detail you describe here. Don't over-think it. All is well.
Dear Dr. HHH,
Great - thanks so much for your advice and the service you provide. It is much appreciated.