Why does some mayonnaise burn when toasted?
With the exception of the water and salt, any of those ingredients will burn if you heat them hot enough. If you're seeing it more with a particular brand, though, and if it's happening at temperatures below 200 degrees Celsius, it's probably the egg. Mass-produced commercial mayonnaise like Kraft has relatively little egg, while 'boutique' mayo (or homemade mayo) will have more.