They’d both do a similar job. But you need to think about compatibility of finishes, so any sanding sealer needs to be one that won’t react with wipe-on poly. It shouldn’t be an issue, but do check first. Shellac is often used for this purpose by luthiers because it is so compatible.

Never tried any burning, and am not keen on the look, so I can’t help you there. The only downside of staining is that end grain on the sides will absorb more stain than the flat top and rear will and so look much darker. Even on the sides where you have curves you’ll get variations in take-up where more or less end grain is exposed. But if you are going for variations in stain depth anyway, then it will look part of that to a large extent. It’s the reason why some people spray shellac on first and then stain the shellac, as you get far less colour variation (though you may as well just spray on a tinted lacquer for a similar effect IMO).

Why not build two guitars and try blue/yellow on one and burning on another?