Vex. Open the bolt lock it back, Take a cleaning rod and lower it down the barrel gently onto the bullet, then with the rifle carefully propped up tap the rod gently with a stick or similar to push the bullet backwards and out, don't tap hard as you can expand the lead and lock it in place. These are rimfires so avoid playing around w/ the rim (ie prying at it w/ a screwdriver)
you have to be real careful as no one wants vex to be done at #3 post.
Now, on semi automatic 22's there are a few parts to ejection. On the bolt there is the extractor, and then there's the ejector.
When you fire your rifle the force of the bullet leaving pushing the case out of the barrel, pushes the bolt back and as it hits the ejector the case gets thrown out.
The extractor does 2 things. 1. it controls the case as the bolt moves back so that the case doesn't bounce around and stay in the action, the case is thrown from the rifle as it hits the ejector and pivots around the rim at the extractor.
2. to unload not spent rounds.
Now depending on the rifle it may be impossible to remove a live round particularly on match .22's where closing the action on the round drives the soft lead into the rifling and engraves the bullet w/ the rifling marks, its that tight.
On a typical .22 semi like a marlin it shouldn't be that tight, but there are a few potential issues.
1. Grease. Rifles are made of steel, steel rusts. To prevent any of this while the gun is in transport (hot cold hot cold condensation moisture in the air etc.) they pack the gun w/ a rather gross grease that needs to be removed for proper function. Luckily on USA guns this isn't so bad, get some bore cleaner and clean it out really well, then start it with just a slight film of lube on the bolt surfaces and the bore wiped out.
2. Reamers, the chamber of the barrel is cut by a reamer which is sort of like a precision drill bit, but with scrapers on it not spirals. Reamers are made of a harder substance than steel, typically something along the lines of carbide.
But like anything the heat of drilling dulls and shrinks reamers as they are used, so there is a tolerence. ie. The tightest you can go and the loosest you can go and still call it a 22 LR chamber. The factory starts a new/sharp reamer and goes at a batch of barrels, along the line a barrel will start out with the full diameter biggest chamber they can get, and then it will get slightly worn and eventually the reamer gets pulled from the line as its chambers would be too small.
Its possible that yours has a chamber that is pretty tight/small, and that out of a batch of 50 bulk cheap rounds you found one slightly larger than it should have been round...
What do I think is likely...
1. Clean it, its probably gross.
2. Never ever ever ever, load a live round into a firearm unless you fully intend to fire it. If you are hunting and you end up with a round you didn't fire that's life, but to have them loaded in your house is trouble. Had you been at a range I'd bet you'd load that round, fire. and the case would land in a pile with the rest of them, you'd never be any the wiser.