I believe Burp is intended to be used on a single machine for web app testing. Configure the browser on your computer that's running Burp, not a remote machine. It sounds like you have Burp setup, but instead of configuring the proxy settings on your iPhone, configure the proxy settings in the web browser on your computer running Burp. Then you browse to a website using the same machine, capturing all the HTTP traffic and do with it as you please. The proxying happens all on the same computer instead of happening across multiple computers.
GSEC, eCPPT, Sec+