Augmented Reality can induce illusory perceptions of heat when users experience virtual flames rendered on their hands. In this exploratory study, we used high-density electroencephalography to investigate the neural correlates associated with this experience. We recorded neural activity in a within-subjects design during three key audiovisual conditions: (A) lifelike virtual flames on the hand paired with a burning sound; (B) a non-fire-like control stimulus (green, downward-flowing visuals with a synthetic sound) on the hand; and (C) realistic flames presented between the hands. Our preliminary analyses revealed distinct electroencephalography signatures between the Fire-on-Hand condition and both control conditions. Our findings suggest that AR-induced thermal illusions may engage brain networks involved in somatosensation, multisensory body representation, and spatial attention. This top-down, predictive mechanism appears to recruit neural systems that overlap with those involved in the higher-order cortical processing of actual thermal stimuli.