There’s nothing thermodynamically wrong with burning methane, releasing the water, and putting the CO2 back underground. Sequestration does not require un-oxidizing the carbon.

Maaaaybe if the CO2 is captured at the point source of the methane burner. But if you've already let it disperse into the atmosphere, forget about it ever making sense to try to compensate for that huge increase in entropy by collecting and re-concentrating it.