The skin burning sensation is carried to the brain by nerves.
However if the nerve endings at outer skin is damaged no signals would be carried to the brain, hence no burning sensation is felt. The Quran says that those who will burn in hell their skins will be replaced with new ones every time it is roasted so that they may feel the pain:
٥٦ إِنَّ الَّذِينَ كَفَرُوا بِآيَاتِنَا سَوْفَ نُصْلِيهِمْ نَارًا كُلَّمَا نَضِجَتْ جُلُودُهُمْ بَدَّلْنَاهُمْ جُلُودًا غَيْرَهَا لِيَذُوقُوا الْعَذَابَ ۗ إِنَّ اللَّهَ كَانَ عَزِيزًا حَكِيمًا
"Every time their skins are roasted We will replace their skins with other new skins so that they may taste the torture" today we know why, because once the nerves are damaged they don't transmit the pain anymore.
How could an illiterate man who lived 1400 years ago have known that that only outer skin can feel burning?
The Quran (Koran, the book of Islam) contains scientific knowledge that could not have been known 1400 years ago. It ranges from basic arithmetics to the most advanced topics in astrophysics. You are invited to go through those miracles and judge for yourself.