If your varicose vein is close to where it's bothering you at your inner thigh, then it's the varicose vein doing this. They are painful. The cause of your varicose vein can be several things, including diabetes. If your varicose vein is somewhere lower on your leg than the burning of your inner thigh, then I think it's probably poor circulation going on in that leg, which would associate the two problems. However, could be they were two different problems, in which case the varicose vein is going to hurt. But the inner thigh, that can come from swelling where your lymph nodes are, there's a bunch at the top of the inner thighs, which suggests an infection of some kind in the lower body. Also, burning in general in the legs can come from peripheral neuropathy which may be caused by lower back problems. So, since there are a lot of variables, and since some of these causes need treatment (like diabetes and infection), obviously you should visit your regular doc and let him have a look at you.
It's the varicose vein causing this.