Can a ganglion cyst cause a burning sensation?

No: Ganglion cysts should be benign lesions that are more cosmetic in nature than anything else. Rarely, they can cause some function limitations but i've never heard of one "burning" before. They can be drained, excised or ignored. Chat w/your family doc to make sure you're actually referring to ganglion cyst.

Yes: Depending on which side of the wrist the ganglion cyst lives. The ganglion can apply pressure to the small nerves of the hand and this can cause a burning sensation or "causalgia".