How can a thumb hurt but be numb after burning it?

Nerves getting destroyed causes immense pain but there are biological shut off switches for pain once you reach certain levels. If the nerve is gone then once that switch is flipped there's nothing left to tell it anything further is wrong.

There are specific specialised protein-based toxins that disable this neurological effect, but it's otherwise a constant unless you have some very serious neurological condition.

Misfiring nerves send 'hurt' signals and still fail to do their job. Both signals are handled differently so you can get both at the same time. Depending where it is, you can use light touch to disrupt the pain signal.

Because you probably burned surface nerve endings