I was sleeping then i woke up and i noticed a severe burning on the muscle near my thumb, first dorsal interossei, adductor pollicis. what is it??

Ulnar nerve: most likely irritated at the elbow, cubital tunnel, since the ulnar nerve innervates this area.

Difficult to know...: These muscles are innervated by the ulnar nerve, and an impingement of the ulnar nerve anywhere along its course can conceivably cause your symptoms. Most common place would be at the cubital tunnel (cubital tunnel syndrome). To know for sure, see a neuromuscular specialist, such as a physiatrist, who can not only examine you but also do definitive diagnostic testing. Hope you get better soon.