I actually tested this the other day. In an area of my building where I get basically no data or cell signal I was playing some Flick Golf for about 20 mins or so and the phone got really hot. My battery temp app was over 43 celsius. Later the same day I went into the same area, put my phone on Airplane mode and played the same game with just a slight rise in the feeling of heat from the phone. Typical for game playing. In either case, when I return to the area where I get good cell signal and get wifi, the temp drops fairly rapidly.
It's apparent to me that in my case it's related to the radios.