Question

Why do we feel the cold milk hot on our tongues after eating something spicy

Answer 1

There are some pain fibers or receptors over the skin known as poly-model nociceptors.These are present in high amount on the tongue. They usually become excited at temperature extremes and mechanical stimulation, and at some chemicals. So they cause a bit of pain which we refer as burning.
When we eat some spices , the receptors become active and remain for long. The sudden high temperature stimulates the pain. So it pinches more.