Hi, this is something you really will want to ask your Doc about. For a few reasons, burning in a limb can sometimes indicate poor circulation. Another reason, your nerve endings could potentially be misfiring. Also, if the pain is close to your ovary, blood circulation may not be flowing correctly to that area of the body.
Less serious matter...the burning could really be in your lower back, but you are just feeling it in your leg. This is called referred pain. Try taking a warm bath. Have someone massage both your lower back and the balls of your feet. Lastly try to relax until your Doc's visit.