The Azim Steppe and Further.

[Iscah]

The Burn is east of Nagxia. The Nhaama Desert is north over a serious mountain range, so I highly doubt we'd go there via the Steppe.

Actually Nagxia is east of the Burn, and also south, assuming all the clouded area in that region is part of Nagxia. Either way, it's all visible on the world map - the Burn is a huge desert area surrounded by either mountains or water and only a narrow pass into Nagxia. Unless it's a tactical 'back door' into Garlemald I'm not sure it's a good way of getting anywhere.

There's a visible area of Nagxia, south of Doma, so it's possible we might end up there in a future patch? Since, like the Burn, it's been visible since the start of Stormblood but not visited in the course of the main game.