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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.
When there is inflammation in the chest or lungs, the pleura may rub directly against each other. This typically causes a sharp pain on the inflamed side of the chest that occurs when a person breathes in.leurisy is a lung condition where the lining of your lungs and chest cavity are inflamed. The lung and chest cavity lining is called the pleura. Pleurisy causes sharp chest pains when you cough or breathe.