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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.
Some people only experience a cough (cough-variant asthma) and may experience pain in their chest due to repeated coughing. Pain which feels like lung pain may also be present when asthma is severe. Pulmonary embolism: A pulmonary embolus occurs when a blood clot in the legs or pelvis (deep vein thrombosis) breaks off and travels to the lungs.