No self, no-mind - I agree with auxin on those points.
I'll add my opinions:
I have some minor experience with this, though obviously not to the degree of burning myself alive, though I think my experiences touch on a similar place. Used to work at a seafood shop, massive walk-in coolers, walk into one, then right ahead there was a door leading to another cooler section with a 10 degree temperature drop from the first cooler. I used to sit in that second cooler and eat my lunch during break, every single day; main reason was because I didn't want to go sit out in public eating [was pretty non-social at the time]. I did this every day for about 2 years. My co-workers would laugh and make jokes haha; they didn't seem to understand :d .
After I was done eating I'd typically have about 35 minutes left of break, so I'd sit there in that cooler, arms folded on knees, head down on hands, close my eyes and just breathe through my nose with long draws, hold briefly, exhale through the nose quickly, then repeat this, never opening my mouth, as I found if I'd open my mouth and start exhaling through [or using my mouth in the inhale/exhale in any way] - I'd foil my attempt and my skin would instantly get blasted with the cold of the freezer, so then I'd regain my composure and start again, and again, and again. I found after about a week of doing this - I could settle into this sort've limbo-state, doing that breathing style through the nose strictly, staying focused on that, staying focused on that place, staying focused, absorbed ,though AS SOON as I would deviate - I'd fail and get instantly cold, goosebumps, etc. Doing this breathing exercise through the nose I also noticed would begin to generate this heat in the center of my chest and limbs.
This eventually carried over into all my winter hikes and winter camping. I had been doing this often when I'd be out. Never was able to do it in negative temperatures or windchil - it became just too distracting and obvious when I'd get blasted with those negative temps, very hard to control anything in those situations, though I'm sure it could be done if you were supremely dedicated, I failed pretty good though [check out Wim Hoff, though his methods are a bit different].
I think attention, absorption, with zero deviation and using this short-breath nose-style breathing would work for several situations, probably not for something an severe and intense as being burned alive or some other form of intense pain, I'm just not sure.
This also can carry over into intense forms of exercise where pain can be prevalent, though breathing style is different given the constant activity of intense exercise, though the concentration and absorption is the same I feel as what I had said above, there is a place that the pain doesn't reach I feel, and you're reactions - mentally and physiologically can be controlled and/or detached from, especially physiological response [emphasis on this] - I think in some way that response can be stifled. Where attention goes - energy flows.
If there's any clarification needed let me know.
**I know this doesn't hold a candle to the depth of pain a person can experience; though I think the hub that these sensations are mediated through can be controlled. Baby steps.