While they might look at you funny, I'd expect any nurse about to give you a shot to honor the request to let you see her open the package.
The flu shot is generally pre-packaged, not something they need to draw up from a vial (not all of them, but most) and so it should be easy for them to just open it in your presence. If it's the pre-packaged kind it cannot be reused. The syringe has a catch on it and you can only push the plunger down once. It cannot be refilled by accident or on purpose for the next guy. Course, if someone is just drawing water up into them and selling that then you're much better off asking to see the packaging...
But be sure you ask before they go out to get the stuff and prepare it for you so that you're not wasting the one they already opened on the prep kit.
My Doc will be getting them in this next week and I'll be getting mine. I'm not sure it will do any good should there be a pandemic of avian flu, but at least I wont be trying to get over 1 and then catch the other. even without the threat of that hanging over our heads I've gotten the shot ever since we had kids, I dont want to be the vector by which my son or daughter dies of pneumonia. I dont think I ever had the flu until I was about 25 or so, and I was SO sick that I just never want to be that sick again. It's worth getting the shots if I can avoid another 3 day session of not being able to leave the bathroom without falling over dizzy or puking my guts out. the flu is NOT just a bad cold...
If you're paranoid about the place you're at maybe selling you a counterfeit syringe of water ask for the drug reaction warning information which they are required to have and give you to (I'm pretty sure) and you should also be able to ask for the lot numbers of the batch you're being given too. A real setup will have both those things and while they might get mad at you for holding up the line and making them give it to you, if you're worried, just ask them about it. If you read the article above, they had none of that stuff.