Don't see your insurance listed? Find more doctors like this that take your insurance.
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 lungs (lower part of the right lung) can cause this is they are inflamed. A pneumonia or a blood clot can cause this type of pleurtic pain (pain with deep breath. Other important structures are the stomach, liver or pancreas in the area. Inflammation of any of these can cause it.