Help!

So last night I tried having sex for the first time. I’m on the pill and we used condoms and lube. When he tried putting it in, I experienced a burning sensation in my vagina. We thought it was because of the friction so we used more lube (KY Ultragel) but the burning became so unbearable. He tried fingering me as well with lube on his finger and I also felt burning then. I’m worried that something must be wrong with me but now I’m thinking the lube might have been the problem. Has anyone else experienced this with this brand? What is a natural lubricant I can use to substitute this?