They have an endoskeleton right under their skin that in most species has all but disappeared, but in some sea cucumbers these skeletal remnants have formed knobs, spikes, or small plate-like bits of armor. These all remain under the skin, however, and are part of the endoskeleton. It's just not, in most cases, an internally-connected endoskeleton like you would normally associate with the term. And in addition, all of its actual internal organs are inside the endoskeleton, rather than between the skeletal structure and the skin. Some sources seem to refer to it as an exoskeleton because of this, but I believe endo- is the proper terminology. At any rate, many sea cucumbers are closer to amorphous blobs (with the ability to keep their tissues rigid) than to anything with a skeleton.