Mazal tov on your upcoming wedding!
It is natural to feel nervous about beginning marital intimacy.  Many kallot have concerns like yours.  Although couples generally do find their way to a satisfying physical relationship, it can take time to learn how to make it work.
Physical intimacy can be understood as a new language through which the two of you can express your feelings for each other.  The vulnerability and exposure of sexual relations ultimately add to their depth.  Together, you can turn something you would be ashamed of in any other context into a source of closeness, in a context designated by the Torah.  For this reason, feelings of shyness, embarrassment, or even shame often dissipate quickly, especially when both members of the couple are sensitive to the other’s initial concerns.
Your fiance is probably as concerned about hurting you as you are about being hurt.  There is often initial discomfort as the body adjusts to relations and the hymen is stretched or broken.  But having relations is something your body is designed to do.  And even at the early stage of adjusting to relations, other aspects of touch are there to calm you.  Take your time, adjust your positioning as is comfortable, and let your husband know how you feel, and you should be all right.  The vaginal canal is muscle, deigned to expand and contract.  As you are more relaxed, and feel more engaged in physical contact, your muscles will expand and your body will provide its own lubrication to help you.
It is almost unfair to suggest that you relax, although it does make a difference.  When we are feeling tense, our muscles contract.  Some kallot find it helpful to drink a little wine.  Others appreciate calming music.  Taking some time to touch each other in other ways before you attempt intercourse can also be very relaxing.  You can indicate to your husband when you feel ready and even manually guide him, so that you have a greater sense of control over what is happening and can maximize your own comfort.
The next time you insert a tampon, you may wish to use a mirror or to experiment with inserting it at different angles, to improve your sense of comfort.  It may help to share your concerns with your chatan prior to your first relations.  It may also help to have a conversation with your kallah teacher.  If you would be more comfortable speaking to someone completely anonymously, please call our hotline.  In the end, you will be’ezrat Hashem have many years in which to improve on your physical relationship with your husband. This aspect of your marriage will come together because you are in it together for the long haul.
If you do continue to have difficulty after the first few tries, do not hesitate to ask for help. Your kallah teacher or physician can be a good first address in finding help when needed.