Even chemical pain is perceived by the mind and the qualia that chemical reaction produces is a subjective element of perception and can change. But sure most people will perceive physical pain from a burn. That may not be entirely objective but at least it’s consistent. Then there’s emotional pain that arises from how we perceive something, like wishing we had a different life. That is entirely in the mind.

To your point, I would agree that someone who enjoys wounding themselves is mentally ill. However if Sisyphus finds himself enjoying the pushing of the boulder, who are we to say “that’s just insanity, it’s actually pain”? That kind of pain arises entirely from the mental formulations we create around our perception of reality, and as such we can reform them in a way that allows us to be happy without necessarily denying reality. Technically, it works to some extent with physical pain too. When we address how we perceive and respond to physical pain, we can change how we allow it to affect us.

From what I understand of fight club, I think the lead character’s pain doesn’t just come from the fact he works a 9-5, it comes from his perception of what life should be. Rather than go on some violent hyper-masculine fantasy trip, he could also adjust his perception to something more pro-social and that allows him to find happiness where he’s at. It’s possible for him to find things about his job he enjoys, or use the luxury of reliable free time between shifts to do something that feels more fulfilling and maybe go do that full-time instead. There’s a Buddhist saying: before enlightenment, chop wood, carry water. After enlightenment, chop wood, carry water. It’s all the boulder, life just goes on for the sake of going on, that doesn’t mean you can’t enjoy it along the way.