Why did Harlee burn her arm when Wozniak was about to polygraph her in the 2nd episode of Shades of Blue?

There is a theory that pain can render a polygraph test inconclusive.

As detailed in this Live Science article http://www.livescience.com/33512-pass-lie-detector-polygraph.html authors George Maschke and Gino Scalabrini explain in "The Lie Behind the Lie Detector" (AntiPolygraph.org 2005): The polygrapher scores the test by comparing physiological responses (breathing, blood pressure, heart, and perspiration rates) to the probable-lie control questions with reactions to relevant questions. If the former reactions are greater, the examinee passes; if the latter are greater, he fails.In essence, an examinee's lie only counts as a lie if it registers as more of a lie than his or her control lie.

In short, pain makes the heart rate spike which can throw off the polygraph.

The implication in episode 2 of Shades of Blue is that Harlee is aware of this theory and burns her arm on the kettle to pass the test.

There are a couple of reviews of the episode online which back this up:

NBC Review

Entertainment Weekly Review