Cucumbers are safe, but they have the wrong calcium to phosphorous ratio (more phos than cal), so they shouldnt make up the bulk of your gutload. Cucumber doesnt actually provide much in the way of nutrients. Its almost pointless to use it, really.
If you buy organic, the skin can be washed and left on. If you buy other than organic, remove the skin.
I wouldnt use cucumber if i were you, its perfectly safe but it has more phosphorus to calcium then it should. Its not even a very nutritious gut load. It might work as a water supply, but for a regular gut load, not such a good idea. Make sure you peel your plants your goin to feed them especially if they are not organic, all the pesticides are on the skin. When you feed citrus fruits make sure they are organic as alot of pesticide is used to get through the thick skin. Hope this helped