To use ammunition. Apparently American.

1

1785.  [They prepared an expensive entertainment], while the soldiers were left to burn powder to no purpose.—Address by Gov. Sullivan of New Hampshire: American Museum, v. 578 (1789).

2

1850.  Civil war, disunion, and the burning of gunpowder are threatened.—Mr. Williams of Tennessee, House of Repr., Aug. 9: Cong. Globe, p. 1051, Appendix.

3