You should be very careful, if you attempt to apply vacuum. The high vapor pressure of Mg at high temperatures can cause sublimation of your sample. Actually vacuum distillation can be applied for purification of Mg (Revel et al. Metallurgical Transactions B 9 (1978) 665-672. "Purification of Magnesium by Vacuum Distillation")
Is your compound a mixture of different single elements (metals) that may be able to form an exotheric reaction producing intermetallic phases? If so, inert gas or vacuum will not make a difference because no oxygene is involved in this reaction.
It would be beneficial for you to provide further details on the material/process you are using. Based on your description of the reaction as a "burn" I would assume it is oxidation caused by trapped air in internal pores, as pointed out by Mr. Chicinas, a vacuum furnace might help assuming you can use it safely.