Sorry I misread the posting on here and see that you don't have ADHD so disregard my comment about that. There are medical conditions that can cause burning in your legs so when talking to your parents let them know how bad the burning is and get them to take you to see your doctor. Anxiety can also cause this. Although Clonidine is prescribed for anxiety it may not be be working and your parents need to know this. Keep taking it until you see your doctor, he/she will know what to do to control this anxiety.
You should NEVER take any medication without your doctor's approval.
Clonidine won't make you anxious but it may not be the best medication for your ADHD. If you have anxiety along with ADHD there are medication to help with both. Ask your parents to take you back to your doctor and let him/her know what is going on, he/she will know what to do to help you. If your parents won't listen talk to a relative or your school counselor and they will let your parents know hat you need to see your doctor. Don't be scared, you're okay. When you feel real anxious, take several slow, deep breaths in through your nose and slowly out of your mouth. Watch TV or read to fall asleep, but keep your mind busy so you don't worry about this so much. You can also write a letter to your parents about how much is going on and that you want to see your doctor, often parents will be in denial not wanting to accept that their child needs help. If they read the words it will sink in. Try not to worry and stay busy....it's okay, just scary. Big hugs!