Painful sex why?

I think I'm having some issues with sex now the more I think about it. I've been married for 3 years and I've very very rarely had sex without lube. I was bit shocked to hear that my friend never ever needs lube ever 😳 She has been married for 3 years also
I mean on some days sex will feel great once the initial discomfort is over like 3/4 mins but sometimes it BURNS like crazy. So bad that my vagina feels like fire inside and I wish I could put ice inside. This will happen despite using lube. On top I will very rarelyyyyy orgasm through sex should I be concerned about this too?
Any suggestions??