Layers of the skin affected by the burn in this question are the epidermis and dermis. When a burn occurs to soft-tissue, the fragile, yet strong nerve endings enter in a "protective and chaotic" mode, trying to restore a homeostatic environment. There is also a massive attempt from the body to thermoregulate itself. The heat from the burn is causing the body to release excessive heat to prevent itself from over-heating. Until the brain is signaled to slow this process, heat will rapidly exit the body, thus the difficulty keeping warm
