“Bridesmaids” director Paul Feig , in Boston to film a Sandra Bullock movie called “The Heat,” doesn’t actually enjoy the heat, based on what he tells fans on Twitter. He tweeted on Sunday, “Boston cabs — the closest experience you’ll have to the sweat box scene from Cool Hand Luke. And no leg room either. Hooray! #dying.” Feig has been sending out pics from the set, including one of cinematographer Bob Yeoman , who worked on “Bridesmaids” and Wes Anderson ’s “Moonrise Kingdom.” “The Heat” was scheduled to film on Marginal Street over the weekend.