It's often related to a condition called nerve entrapment, where a nerve in your thigh gets compressed or pinched, sending mixed signals to your brain. It's kind of like when you sit on your foot for too long, and it starts to tingle and feel weird - it's a similar concept.
Think of your nerves like tiny little highways inside your body, and when they get blocked or compressed, it's like a traffic jam - nothing can get through, and things start to feel wonky. In this case, the nerve is like, "Hey, I'm stuck, and I'm sending out a distress signal - aka, the burning sensation!"
But, why does it feel like burning, specifically? Well, that's a good question! It's because your brain is trying to interpret the weird signals it's getting from the compressed nerve, and the best it can come up with is, "Hey, this must be what burning feels like!"
