I have to penalise you somehow, and it's either lowering the refund or using a large, spiky baseball bat on your most tender body parts.

I wouldn't allow a total 'fireproofing' of a character, or any other elemental immunity, but I would allow a reduction to damage of certain types, or absorption under certain circumstances or with some countering vulnerability, such as with Flare's Flame Body trait being weak to cold-based damage.
I'm thinking of something as a trait that prevents the burning status effect, he can be hurt by fire, but cant catch on fire.