That's a thermite reaction. You get similar effects dropping pure sodium or pure magnesium in water - lots of heat and lots of light.

"Burning" is oxidation of something.

Putting thermite in a high pressure stream of oil and natural gas isn't going to make the oil and natural gas burn unless there's a significant source of oxygen. There isn't one under the ocean. (Recall that fiery blowouts on land used to be put out with dynamite (which blows away the oxygen for combustion).) Heating up a small portion of the stream to some high temperature isn't going to solve anything.

I suspect the thermite would quickly be extinguished by the rushing oil and gas (e.g. quickly buried by a coating of tar). Plus, there's the minor issue of safely supplying thermite to the well head...

It's not going to work. Sorry.

Cheers,
Scott.