Itching and burning can be symptoms of any allergy.
Burning sulfur in oxygen produces sulfur dioxide.
sulfur oxide
Burning of sulfur (or anything else) is a chemical change, not a physical change.
No, go and see a doctor.
Sulfur oxides
It is a chemical change, an oxidation reaction.
By burning coal.
The burning of coal that contains a lot of sulfur.
Volcanoes produce more sulfur dioxide than any other cause. Some sulfur dioxide is also release from the burning of sulfur-rich fossil fuels.
After burning sulfur become another compound - sulfur dioxide (SO2), a gas.
Burning elemental sulfur in air will create sulfur dioxide.
Burning sulfur = CO2