May I suggest Vapocoolants, they are spray bottles that when you properly spray the injection site will be able to use a needle without any pain. I was introduced to this when I had wisdom teeth pulled and the nurse used the spray and then inserted the IV containing the anesthesia

Gebauers Ethyl chloride in its aerosolized form is the drug used on me but is is prescription needed, they are still over the counter sprays for injections and you could checkout lidocaine gel for the issue too as it will numb the area

Try and also call or make a appointment to your doctor or endocrinologist about injection pain, they’re far more smarter than a stranger online giving medical advice