I get prickly burning in random places. Not sure if it is the anxiety because it was rare enough before and still occasionally occurs after successful medication. But prior to going on the anxiety RX I got sore left arm, left jaw, left neck and left calf in stress situations and when the symptoms started my anxiety fed them further. I actually thought it was heart problems but the anxiety medication Zoloft made it go away in maybe 10 days.
So as long as your Dr doesn't think it is the heart you probably have nothing to worry about. There are non prescription herbal stress rememdies out there that you might try if your Dr doesn't think your complaints warrant active treatment. Good luck