Because it’s grown close to you, take a good look at the clip. If it has Magma’s emblem on it, then you may need to be very worried. If, however, it has Devon or Silph’s (or any other brand), it may actually be a research tag. Sometimes, we researchers seek out and tag pokémon known to migrate (such as volcarona) in order to observe and better understand their migratory patterns and seasonal habits. If that’s the case, then you may wish to leave this volcarona alone. (You may also bring it to your local professor to be absolutely sure it’s a tracking tag for research purposes. If it’s not, then that researcher will also know what to do from there.)
Actually, come to think of it, you may wish to bring this volcarona to your nearest professor first before thinking too much about training it. You never know if you may be interfering with vital data … or having an actual criminal organization after you.