I experienced the EXACT same thing last year. Everyone thought I was crazy!lol I went to the ER with symptoms of a panic attack...rapid heart rate, chest pain, shortness of breath, etc. But, I also had this tingling sensation on my scalp and over my face along with a dull headache. I thought there was something seriously wrong with me. It felt exactly like you described it. My other symptoms went away, but this pins and needles feeling went on for a couple days. It went away for awhile and then it would come back off and on. It was the weirdest feeling! My Dr. had no idea what was causing it. I went to a chiropractor thinking something was wrong with my neck, but after several visits I realized that wasn't helping. I even went to a Neurologist and had some nerve conduction tests done and they turned out fine. Now, this sensation still comes back from time to time, but I really think it has something to do with anxiety. I talked to another Dr. about it recently and he thought it might be due to muscle tension causing some problems with blood circulation in my face and scalp.
I don't know if this helped much, but atleast you know you're not the only one with this strange symptom.
I really think this burning/tingling your feeling is due to anxiety, too.
Take care, Hilery