Unable to orgasm?

Hey ladies, I'm 18 and the only way I've really found pleasure masturbating is humping my pillow(sorry if this is weird) nothing else feels good to me. I've bought a toy and it doesnt help. But when I get to doing my thing with the pillow and it gets intense to a point I stop because that horny feeling goes away or it gets too much and I stop. I have never had an orgasm before and I feel like I will never get there.

My ex when I was dating him he knew what he was doing with his hands and it felt good but I had to tell him stop because when it got intense it started to hurt. Is something wrong with me? Am I doing something wrong?