Well, technically, most fishnets are made of materials generally referred to as "napalm". Such materials can keep burning after the fuel is gone, and tend to leave a blisteringly hot residue behind... often still burning. HOWEVER, the specific nature of a loose weave fishnet causes the material to break and pull away from any destructive areas from flame (making the character, golfball sized holes). As the strands pull away, they frequently snuff out the flame. Thus making them "semi-safe" to wear. Though, you may still get little point-burns from where enough fabric goes napalm before the rest pulls away.

you could weave cotton fishnets

Any thought process to balling them up and submerging them in a fire retardant? If it dried after being completely soaked, would it react the same way? Would the fire retardant slow it at all?

Just beware of nylon because it could melt to your skin...but I think it would be okay as long as you don't have the fire held against your leg for too long. I never tried it because I love leg wraps and my fishnets!

i say go all out on finely woven wire mesh material.

the spark that it creates even from "mistakes" would add to the visual efx.