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So you are sucking a lot of cold dry air into your throat and lungs which drys out the natural mucuses that exists there, and causes temporary inflammation and pain. This results in that burning sensation you feel in your throat/chest/lungs, which may or may not be accompanied by wheezing and coughing. It can be quite painful and quite distressing, but usually, it should subside within, hmm, about 15-20 mins after you stop exercising.
The Sources of Pain. People with lung cancer may experience different types of pain including: Pain caused by the cancer itself. This may be because a tumor in your lungs is pressing on nerves in your spine, resulting in chest or back pain. Pain caused by cancer that has spread to other places in the body. If your cancer has spread to your bones, you probably will experience bone pain. Cancer that has spread to the liver may cause pain in your abdomen. And cancer that spreads to the brain can result in headaches. Pain due to your lung cancer treatment.