It’s certainly possible but in my Catholic upbringing, virtually every martyr has some badass story that implied they were above pain and suffering of their execution (due to their absolute faith, of course). Some stories might be true but my money is on most being heavily embellished. This one in particular seems implausible because I would imagine that being grilled would send your body into shock pretty quickly. Plus the heat would likely damage your lungs when you breathed so I doubt someone could talk for very much of the process.

I’m certainly not saying it’s impossible but I think it’s more likely false (or embellished beyond recognition) than true.