Hi welcome to healthcaremagic.com
The skin of outside of the thigh is supplied by the lateral femoral cutaneous nerve
which is often pinched and causes burning, numbness
in that area. It is more common if you have lost or gained weight quickly or wear tight clothes that pinches the nerve. Lying on the nerve may also compress it and cause symptoms which may be why you wake up at night. THe pain take a while to develop, that is why you do not wake up strainght away.
Thigh and leg pain can also be from sciatica
which happens from pinched nerves in lumbar vertebral
Regards Dr. Jagdish