Burning Sensation During Sex Only

Is it normal for someone who is not sexually active to feel a slight burning sensation while having sex? I don't feel anything of this sort while peeing or being fingered.

Also, it isn't my first time and we didn't use a condom. The burn isn't excruciating but it's not comfortable either and I can't go on for long.

I got my period the next day and was also tipsy. Can these play a role?