People often underestimate how painful burning alive actually is. It's literally one of the most painful things that could possibly happen to you.
It's a stupid idea no matter how you look at it. Even if you claim not to care about the pain, there is so many things that could go wrong with this method. Once you light yourself on fire there's a high chance that you'll attract attention. Even if you do it deep in the woods your screams are going to be so loud that you'll be heard from miles away. Then people might get hurt trying to help you, probably thinking that you set yourself on fire accidentally. If they do manage to stop the fire, or if you manage to do so yourself since you'll be actively trying to make it stop, you'll possibly be left disfigured and no one's going to really want to be around you anymore. Google "fire injury face transplant", you'll know what I'm talking about. Then cops are going to investigate a bit and it's going to be obvious that it wasn't an accident, you'll get locked up and won't be able to attempt again for a while. Oh and also you might go blind after this, so attempting again might not even be possible. If that happens then you'll be forced to rely on nurses, social workers and family members for the rest of your life until you die of old age wishing that you had done a bit more research.