period sex and vaginal pain

A month ago I got the Mirena IUD, but before that my boyfriend and I just used a condom. Yesterday we had sex for the first time since I got the IUD (school break for a month). It was our first time not using a condom, and also the first time we had sex during my period. My period was pretty light beforehand, but the penetration seemed to make the flow heavier. What concerns me is that the sex hurt to the point that I had to cut it short. My vag and the area immediately around it hurt for a bit afterwards, but seemed fine by halfway through today. Despite my concerns, I gave him the okay to have sex tonight, but now I regret it. Right before, my vagina didn't seem to hurt, but pretty soon after we started it began to hurt again. We added lube halfway through this time, but it didn't seem to ease the pain at all. Now it still feels like my vagina is burning. Do you think the pain is from lack of lubricant?