Help me

So when my fiancé and I had sex recently, we didn’t actually end up having sex. He went down on me and started fingering my vagina and my anus, which felt good- at first. Then the pain from the anal play started rising because he went faster and deeper and it started getting dry but when I asked him to grab our lube he said no and used saliva to moisten things, and the pain and pleasure of the anal, vaginal, and clitoral stimulation became too much and I started to cry, but because I didn’t want him to get upset I played it off as tears of pleasure rather than from pain. What can I do to make anal more comfortable? I relaxed and we loosened things up slowly, but when it comes down to the anal sex and anal play, all the relaxing and loosening doesn’t do anything, the pain is still borderline unbearable. What can I do?????