Well, hell is supposed to be forever. Eventually the liquid piss would evaporate, leaving behind solid compounds that, in my experience, would still smell quite bad. And then, she'd burst into flames again. Sounds like a win-win.
Actually both have the same meaning. Pissing on her while she's on fire would be to save her by soaking. And it's the least you can do (easier than getting water). This saying means that they wouldn't save Margaret Thatcher even if it was trivially easy to do so.