The heat could dry out your skin, which, if I’m not mistaken, is essentially what a burn is. However, as the other person noted, a sunburn is damage from radiation, not heat. So I think you could stretch the common definition of a burn to call heat induced dry skin a burn but calling it a sunburn would not be accurate.
If a deity exists, he probably says the same thing about humans. Both are annoying to a more advanced being for similar reasons.