Shadrach was one of three brothers in the book of Daniel who were told to bow down and worship a god other than the God of Israel. The three brothers had been taught all their life to never worship another God (Exodus 20), no matter what. As the crowds bowed to a statue of a Babylonian god, Shadrach, Meshach and Abednego stood. The king was infuriated and ordered the boys to be thrown in the furnace. They were tied and tossed into the flames; however, the only thing burnt were the ropes. They walked out unharmed. Growing up in the South, Jem and Scout would have been very familiar with all the old Bible stories, familiar enough that even the little pranks they played would be laced with Biblical allusions. They tied Eunice Ann Simpson to the furnace which would have been incredibly hot and told her to have enough faith and she'd get out and not be burnt. She said she was tired of playing Shadrach and was still hot. I believe the effect is humorous especially for readers who have grown up in Sunday School and recognize the Biblical story is one about faith while the kids have used it for a prank.