Can’t ever orgasm with my partner

So my boyfriend and I need some advice we have great chemistry we love each other and when it comes to the bedroom everything is fire and electric we both enjoy it but there’s one issue that causes some problems I enjoy having sex with him and vise versa but I’ve never been able to orgasm with any of my partners usually I can achieve a orgasm by rubbing my clit when I play with myself solo and I’ve tried that when we’re having sex but it doesn’t help it’s like my body gets close and than it just stops it’s frustrating for me and for him. He has suggested we try him going down on me but I’m too shy the thought of someone doing that is like no I don’t think so and trying anal is out of the question I have a very low pain tolerance and he is freakishly big so that scares the shit out of me ( no pun intended lol) so we’re not sure what to do I’ve slept with 4 people in my life time and all of them said everything was great except for that one issue. So my question Is could it be a mental thing or a physical problem???!!!!