Is it bad to masturbate with vicks? and if i already did it what could happen other than the burning?

Ouch : Sounds very painful but if not feel free to enjoy. No inherent danger other than a burning penis.

Yup, it's bad: The burning you know about. There also might be swelling and other inflammation effects. A one-time error that only burns will probably do minimal damage and fade into the past. The lesson to not do it may the the best result. It's a petroleum product - not for internal use of any kind. Use KY jelly or natural edible oily things. Read labels. If irritation persists - go to urgent care or dr. Best!