Cortisone - Is it normal to have Inflammation and burning on leg?

There is a reaction called "post injection flare" which can occur with steroid injections, though this reaction occurs at the injection point of the affected joint.

The flare reaction can cause an increase in joint pain as a result of corticosteroid crystals. The reaction usually begins about six to 12 hours after the injection and presents with swelling, tenderness, and warmth over the joint that persists for hours or days.

You should see your doctor - inflammation and burning in any joint requires medical attention.