Sounds like a circulation problem - but have an MD check - pulse in the legs- temprature and chec medication your on for side effects.
I have never heard of the two being connected. If the pain and burning is localized in one small area, is warm to the touch, red, or you have any swelling, seek medical help right away. These can be symptoms of a clot in your leg which needs emergency medical attention. If it is not localized, I would see your doctor to determine the cause.
Take care.