the skin effect takes place for higher frequencyies (high frequent radiowaves or microwaves). For these high frequent currents, the electrons or wave propagates on the surface of a conductor. In the kHz-range the penetration depth is orders of magnitude higher than the diameter of nanoscale particles. Therefore, it must be another effect.
In your case, the mobility of carriers seems to decrease with increasing frequency. Can you more accurate describe the frequency behaviour and the material class?
But I think, you can be sure, the skin effect is definitely not the reason of your effect.