After reading the article about squash pollinating with cucumber being totally untrue, I have to strongly disagree. I have squash-cumbers in my garden. My yellow squash plants have cross pollinated with my cucumber and the other way around. My squash on the squash plant started turning green with yellow bumps. I had a cucumber on a cucumber plant that was half yellow and half green. I broke it apart and the half that was yellow was a squash with squash seeds and the half that was green was cucumber with cucumber seeds. I have pictures of the squash cucumber, so just maybe this wives' tale of cross pollination is true--I have proof.
Cross Pollination With Squash and Cucumber
Certified GKH Gardening Expert
Cucumbers and squash are in the curcubit family, but they cannot cross pollinate. It is like humans and monkeys. Same basic family, but not compatible. Here is an article from the Iowa Extension Service on why it can't happen: https://www.ipm.iastate.edu/ipm/hortnews/node/981
There are cucumbers that look as you describe. You may have a mislabled plant or seed in your garden that was mislabled by the company that sold it to you.