One of my players is trying to use the minor metamorphosis psionic power to give himself a burrow speed and investigate a sand dune.
Given that it explicitly doesn't make tunnels unless the description specifically says it doesn't, it doesn't seem like it does. On the other hand, none of the burrowing creatures that I can think of have no breath or hold breath. If it doesn't, then it seems like they'd all suffocate or have to surface very often, which seems to defeat the point of a burrowing creature.
Edit- Burrow doesn't grant the ability to breathe underground, so it looks like the psionic power wouldn't either. Still curious about creatures with a natural burrow speed, though.
however the earth glide revelation for oracle's of stone does grant the ability to breathe rock:
from the SRD:
Earth Glide (Su): You can pass through stone, dirt, or almost any other sort of earth except worked stone and metal as easily as a fish swims through water. If protected against fire damage, you can even glide through lava. You glide at your base land speed. While gliding, you breathe stone as if it were air (you do not need to hold your breath). Your burrowing leaves behind no tunnel or hole, nor does it create any ripple or sign of your presence. A move earth spell cast on an area where you are flings you back 30 feet, stunning you for 1 round unless you succeed on a DC 15 Fortitude save. Activating this ability is a free action. You can glide for 1 minute per day per oracle level. This duration does not need to be consecutive, but it must be spent in 1-minute increments. You must be at least 7th level to select this revelation. You can bring other creatures with you when you glide, but each passenger costs an additional minute per minute of travel.