Gently wash around the eye
with mild soap and water. You may try irrigating the eye with water, eye irrigation
or wetting soluiton and then observe.
The menthol in the rub will cause the burning. Observe & if stable or improving, no big worry. If worsening or concern, see medical evaluation. Other than menthol, the rest is petrolatum and okay. "don't let it vapo-rub you the wrong way!