Sports massage can be a useful treatment for tennis elbow, particularly more chronic conditions. In particular cross friction massage of the tendon insertion but only once the initial inflammation has settled (after 5 day) is done. Place the 2nd finger of your opposite hand on the outside of the elbow and rub across the tendon (painful area) for 5 minutes. Do not press too hard but there may be some mild pain whilst having the area 'frictioned'. Repeat once a day. Do not carry on with this exercise if the pain worsens after the treatment.
Cortisone injections are extremely safe, but they do still have potential problems. If you are concerned about having a cortisone shot, talk with your doctor. While cortisone is a powerful treatment for many orthopedic conditions, there are usually other options that can also be tried. Many doctors will offer an injection as they are quick, easy, and most often effective. However, your doctor should also be able to offer other treatments for inflammation that may also be effective for those that cannot have, or don't want, a cortisone injection.