As nouns the difference between cyst and bursa

is that cyst is a pouch or sac without opening, usually membranous and containing morbid matter, which develops in one of the natural cavities or in the substance of an organ while bursa is any of the many small fluid-filled sacs located at the point where a muscle or tendon slides across bone. These sacs serve to reduce friction between the two moving surfaces.

As a proper noun Bursa is

a city in northwestern Turkey.