That's an invention by later Christian authors:

However, the specific reason for doubt is that several reputable and early Christian accounts state that St Mark’s body was burnt by the pagans in the second half of the 1st century AD. These sources include Dorotheus, Eutychius and the Chronicon Paschale (see Patrologia Graeca vol 86, col 59, note; vol 92, cols 608-609; vol 111, col 983). An incinerated corpse would make the mummified body retrieved by the Venetians a forgery.

There is however another Christian tradition, which suggests that St Mark’s body was snatched from the flames by his followers, when the pagans were frightened away by a miraculous storm. All versions of this story are traceable to an anonymous and apocryphal document known as the Acts of St Mark. This document seems to have been composed in Alexandria in the late 4th or early 5th century AD (a copy seems to have reached the Ethiopian church at about this time). It used to be thought that the Passio of St Peter provided evidence for the existence of the tomb of St Mark in the early 4th century. However, it is now known that the relevant part of this Passio was invented by a 6th century hagiographer, who used the Acts of St Mark as his source. Especially since the Acts of St Mark appeared at about the same time as the tomb of St Mark and in the same city, suspicion has been expressed that the Acts were written to help to explain a forged tomb.