How did the First Emperor of Qin "burn the books" prior to the invention of paper?

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The Chinese term for the Qin emperor's "burning books and burying scholars alive" is 焚書坑儒 (character by character: burn/book/bury [alive]/followers of Confucius). The character for book or books here is 書.

According to the Chinese wikipedia article on pre-paper Chinese writing,

簡牘可以用線繩或牛皮繩編連起來成書。

Wooden or bamboo tablets (簡牘) can be bound into books (書) with cords or leather strings.*

Since wood and bamboo both burn easily, it follows that books from such materials would also burn.

* but note that while the first (four-character) quote uses a very old interpretation of what 書 is, the second quote uses a modern one. They are probably quite similar, but not necessarily so. Cf. 火车 which nowadays means train and in pre-modern times meant something quite different.

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Paper was invented in China, traditionally by court official Ts’ai Lun in 105 AD. It was actually invented around 3 centuries earlier, but not used for writing until the 1st century AD. Up until that point, characters had been painted onto wood or bamboo, or for the very wealthy onto silk. The wood was cut into strips 1 character wide. Multiple strips could be tied together so they could be fastened into a roll, or alternatively a hole was put in the top of each strip and a cord threaded through. The roll or bundle could be tied in such a way that the text faced inwards, with clay to secure the bundle and a seal applied to ensure the content was not read by unauthorised people. Tags were used to identify the contents of archived material.

Such bundles would of course burn well.

This information is from Michael Loewe: Everyday Life in Imperial China During the Han Period

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