Your thumb is innervated by spinal nerves c5-t1 and coalesces into the mid and lower branches of the brachial plexus that then forms the median nerve.This is both for motor and sensory components.
If one of the discs related to the above levels show pathology, MRI and EMG/NCV confirmed peripheral neuropathy, of bulge, herniation or protrusion, it may cause burning in your thumb.
Also, the pathology could be more distal I.e. Carpal TS.
In the a absence of sensory symptoms in the next 2 fingers and lateral aspect of the ring finger, it would point to a more localized cause. Unless you had trauma to the thumb distal to the bifurcation of the sensory branch of the median nerve that innervates your thumb.
All that being said, you are probably correct in thinking that the peppers caused it.
Matt