Does this mean that a werewolf can't be burnt or drowned?
The Werewolf would still die
Werewolves aren't immune to all non-magical attacks, they are immune to "slashing, piercing, and bludgeoning damage from non-magical attacks" (emphasis mine).
Being burned at the stake would deal fire damage, and fire is still quite effective. Suffocation does not rely on dealing HP damage to kill in the first place.