This is Horror Stories for April-May 1936, cover by John Newton Howett. The ISFDB enry for this issue is here. The version of the image here is the one preserved at Galactic Central.
Update April 5, 2017. This image went up by mistake: here is the one I meant to put up:
It’s often difficult to tell if the captive will survive this treatment or the dashing hero will Save her in time. This picture looks like 3rd degree burns.