The only true way to know if it is a cyst is for the vet to take a sterile needle and see if anything can be taken out. With this, there is always a risk of infection within the cyst. (The needle can accidentally bring in bacteria from the skin that it is going through) I don't recommend that you try to open it up yourself, it can get infected and get much worse.
Another way is just to feel it. Is it soft and squishy? Does it get bigger, then smaller, then bigger again?
As I said, cysts don't usually cause pain, so it might just be the yeast infection that's hurting him each time he takes a step. Yeast between the toes can be quite painful, causing rawness and skin seepage and terrible irritation that can also lead to a bacterial infection on top of that. If you see his skin between the toes look like I described, that may be the reason and cause of his pain.
Another thing to check is when you touch the lump, does he react? Does it hurt when you try to feel it, etc.? If so, it may be something actually stuck in his foot, like a stick or splinter, etc. and this lump is the body's way of trying to get rid of it or make a softer cushion so the body can heal. x-rays won't show small splinters or anything like that, so this still may be a consideration. However, most in most of these instances, they burst open within a week or so.
I hate to tell you to go back to the vet again, because I know you're working hard to get it better without going through the expense again, but I really think that is the way to go if this is getting no better. It's already been 3-4 weeks now so I hope your vet can help you out quickly. If they have diagnosed yeast infection, I hope they gave you some sort of ointment or shampoo to treat his skin. If so, keep treating until it's all gone. If not, please call them back and let them know that the way they are treating at this time is not working and it'll get them on the right track to a different treatment plan.
I hope this information helps you out. Let me know if I can help you further.