Hi, I am not a doctor, but I do have experience with a burning sensation in my thigh, front above the knee. I'm actually surprised the doctor even thought of a pinched nerve. He was probably on the right track, but looking in the wrong area. In my case, the nerve that is pinching is in my lower back. It is amazing how a pinched nerve on one's spine can severely effect other parts of our body. I would see a doctor that specializes in degenerative disc disease or herniated discs they may be able to help.