What will happen if a scorpion pierces itself?
Scorpions are immune to their own venom (reference) as has been said in some studies as well (reference) But some other studies and eye witness accounts have referred to the contrary.


  in an experiment a scorpion, Bulteus australis, was killed by an
  injection of the same venom as its own (reference).


So, it should be safe to say that there is a very low chance for a scorpion to be affected by its own venom. It is said that 


  Mutations in the scorpion’s own membrane protein genes make the
  arachnid immune to its own venom (reference).


A scorpion could die quickly if venom is injected into its brain (nerve ganglion). Larger species inject a higher amount of venom to overcome the smaller ones and should have specific neurotoxins if smaller scorpions are their prey to disable them (reference).