I just got my 2nd birth control shot (depo-shot) & my partner ejaculated inside me at the same day. is it possible for me to get prego? also, it burns

Anything is possible: Is it possible to get pregnant while on Depo-Provera? Yes but very unlikely, especially if 2nd shot was given/taken at appropriate time ie not late. Timing of each consecutive shot is important to maintain infertility. If you're late in getting next shot, then yes, it's possible to get pregnant, more likely than if received at right time. Where is burning? That needs to be evaluated by your doc.