In fact I removed the thermostat and it still runs. What to check on this Burnam NG boiler?

Your boiler could be wired as a hot boiler. This means the thermostat only turns on the pump and the boiler remains hot at all times. If this isn't the case then you could have a bad relay in the control system that has stuck in the on position. One other thing I have run into is a short in the thermostat wires between the thermostat and the boiler. Remodeling? Screw or nail into wire? Hope this helps you.