Thanks for the query.
The burning sensation during micturition can be due to urinary tract infection
the frequency of micturition can increase but the burning sensation may not be related to pregnancy.
So you once consult gynecologist, get examined to confirm the pregnancy.
And go for urine microscopy to rule out UTI and take tablets accordingly.
Take plenty of water and avoid retention of urine that will help in decreasing the burning to some extent.
For more details you can ask me through: http://www.healthcaremagic.com/doctors/dr-sree-gouri-sr/63429