Christopher B. answered 10/04/21
Experienced Physics Teacher/Tutor with Engineering Background
So, burning basically involves rapid heat transfer. In this case, the heat is either going from the metal pan to your hand or from the hot air to your hand. The 2nd law of Thermodynamics tells us that the oven, the air inside, and the pan should all be about the same temperature, depending on how long they've been next to each other.
Different materials have different values of "thermal conductivity" -- how fast they allow heat to move through them (and, in this case, into your hand). You can look these up online and compare the values for some metals to the value for air.