Simply Burns is not the best option for that.
Try either
Transmac
or
Rufus
or use
dd from your Mac Terminal
For Mac Terminal route: i.e.
sudo dd if=~/Desktop/SlaxOS.iso of=/dev/rdisk3s2 bs=1m
(can be up to bs=8M (without major risk of a corrupt write, as well if its a custom larger than normal Slax ISO)
For a more "teach me" writeup read this article from OSXDaily Make a Bootable ISO USB on Mac