What would happen to a cold planet that has a large amount of flammable gas, like Neptune, if we throw some fire into it? Will it burn, or would the flame be extinguished due to the cold?
The outer parts of Neptune are mostly hydrogen and helium. There are small amounts of other gases such as methane, ammonia and water vapour. However, there is no oxygen at all.
If you took some of Neptune's outer layer back to earth and mixed it with our air, it could burn. Even very cold hydrogen can burn (it soon heats up!) This couldn't happen on Neptune, because a fire needs both fuel and oxygen to burn.
It is very unlikely that any planet would have large amounts of both fuel and oxygen in its atmosphere. Oxygen is very reactive and will react with any flammable gases to produce (mostly) water and carbon dioxide. Oxygen is not stable in a hydrogen atmosphere over a period of millions of years. If we find oxygen in a planet's atmosphere, we can be fairly sure that something on the planet is making it.