Incense is not typically burned in a Masonic lodge, but the symbol of a pot of incense is used as an allegory for a pure heart (the pot or censer) and the prayers that arise from it to heaven, symbolized by the clouds of rising smoke.
“The Pot of Incense is an emblem of a pure heart; this is always an acceptable sacrifice to the Deity; and as this glows with fervent heat, so should our hearts continually glow with gratitude to the great and beneficent author of our existence for the manifold blessings and comforts we enjoy.”
Thomas Smith Webb, Monitor
More Info:
https://en.wikipedia.org/wiki/Religious_use_of_incense
https://www.thesquaremagazine.com/mag/article/202210masonic-miscellanies-the-pot-of-incense/
https://skirret.com/archive/stb/stb1935-05.html