Yes Some ladies feel some level of pain when having sex for the first time.
If a woman has never before had vaginal penetration such as with her own or a partner’s fingers, a sex toy or even a tampon, then her vaginal entrance may be largely covered by her hymen. When the hymen – which is a thin area of tissue that is filled with tiny blood vessels – tears, a woman may or may not notice vaginal bleeding, and she may or may not feel discomfort or pain
if you do experience pain during your first time, it's probably from friction if you are not sufficiently lubricated or aroused — not because your hymen has nerve endings (spoiler: it doesn't). The good news is, although you can't control your hymen tearing, you can control how relaxed you are.
To get rid of any potential pain, you both of you must be comfortable, relax and not anxious or scare and Try using a water based lubricant to make sex more comfortable. There are hundreds of varieties on the market, and a lubricant can help ease penetration, not to mention add some novelty to sex. You can buy most lubricants from your local pharmacy shop