I assume that you mean did any burnings take place in Leicester during Mary I's reign?
I'm actually not sure but probably yes. Heretics were burned at the stake in the market square of towns and although these took place mainly in the south-east of England, they would have happened countrywide where there were Catholic strongholds. Ridley and Latimer were burned at Oxford.
If anyone knows more about this then please let me know as I can't seem to find information on the exact locations where burnings took place.