The skin is the largest organ in the human body and it contains many nerve endings. Some are deep in the skin and others are close to the surface. Any time there is an opening in the skin, there is always a chance that a nerve ending may be exposed.
The burning sensation, similar to using Hydrogen Peroxide indicates that there is probably a superficial nerve ending exposed in the wound. Think of the nerve ending as a bare electrical wire without any insulation around it. Once the wound begins to heal, the newly formed tissue will surround and cover the nerve ending, thus insulating it. As healing takes place, the burning sensation will decrease in intensity and duration.