A Tiefling has, due to their infernal heritage, a certain resistance to fire but Thyrreus is even more. He was conceived in the City of Iron, the capital of Dis - the second layer of the Nine Hells. The hellish environment and his mother's godly heritage made him almost fireproof.
But it also gave him a certain short temper and a big mouth which, combined with a certain lack of socialisation, tends to lead him into situations that don't always go in his favor.
More about Thyrreus can be found here: