Most likely oxidation, probably Fe(2+) reacting with oxygen and going to Fe(3+). If you weigh (again) after heating and cooling the answer is less certain because some minerals will also absorb (or reabsorb) water and/or CO2 under these conditions.
Fully agree. Fe is likely in Fe2+ oxidation state. Therefore, oxidation can proceed till all iron in the rock is in Fe3+ state. This explains the mass gain.