I've heard of that happening. Hasn't happened to me with warming lubes specifically (I've used only one, Sliquid's Sizzle, and it wasn't actually warming...? Anyway...) but with lower-quality lubes.
Depending on the lube you used, and I'm specifically thinking of Intimate Organic's flavoured lube line here, it may have left a residue on his skin. The reason I'm thinking of IO's lubes is they don't actually contain any water, and they're kind of oily/greasy. I've had some spill on tile flooring, and it left an oily sheen on the floor even after mopping.
Or he had a mild allergic reaction to something in the lube. He could try putting a little on the inside of his elbow to see if he has a reaction without putting his genitals at risk again.