Why doesn’t masturbation work for me?

First of all I was raised Catholic so the idea of a healthy sex life never occurred to me since I was told to not have it. Recently I’ve been trying to get a more passionate sex life. This involved trying masturbation with this neat vibrator. I can’t bring myself to do it unless my fiancé is with me (I’m still kinda embarrassed) but it doesn’t work. Am I not doing it right or is it just not my thing?

Edit: I also don’t know to get comfortable with the idea of doing it by myself. How can I fix that?