Its entire body is burning. When it breathes, the temperature rises. When it sneezes, flames shoot out!
The hotter the place, the better they feel. Magmar in Alola are said to be hardier than those in other areas.
Legend has it that this Pokémon was born from the crater of a volcano. When wounded, it bathes in lava to heal its body, much as one would soak in a hot spring.