scared of having sex

Hey girls
I'm 22 and never had sex before
I love my man as well he does, and we are so happy together with an amazing relationship.
We tried to make love many times but I can't just take the pain cuz i hate the idea that its gonna hurt me
It burns when he starts getting in
And i start running away in bed and crying every time because i hate that I can't just give him love every time I wanna show him how much i love him.
He's patient with me and giving me my time but it's affecting our relationship even if he tries hard not to make me feel or notice it.
I don't know what to do
I brought lubes and went to talk to a doctor to check if i have a problem and couldn't even let the doctor check me easily he gave me advices to use candles but I can't use them because I keep thinking of the pain.
Any help !