At least in the show....the immunity to fire/heat seems exclusive to Danny. In the books at least, Jon did burn his hand on the lantern when the walkers/zombies/whatever we call them here woke up (book/season 1). Her brother Visceras (sp?) was certainly not resistant to heat. And presumably the old Maester Ammon could burn himself on something. We didn't see it, but one can't imagine he could live at the Wall for years, and no one notice that the old man is totally good with fire/hot.
I think that Danny's immunity to heat/fire is a result of the show writers trying to demonstrate that she is special/The Slayer/whatever. If anything, Jon having Stark blood from his mother's side would only make him partially immune.
~Jeordam
Saving the Princess, Humanity, or the World-Entire since 1985