I had a harder time potty training my son than I did with my daughter. She was ready and "raring" to go before 2 years old and it was easy.
My son? Urghh...not so much. Children don't like change, they do adapt well to it, BUT as a general rule, they don't like it.
I agree with getting rid of all the diapers. I had to do that. My son didn't do the pull-ups. We went straight to the underwear. He didn't want to wear them. I ended up taking him to the store and let him pick out the ones he liked. I had originally purchased the solid white ones, but when we got to the store and he saw the colored/designed ones, he picked out the ones he liked and we got them.
He did still try and resist the potty training, and would wet/mess on himself until one day when he brought me some baby powder, diaper and a washcloth and told me, "Mommy I pooped. Change my diaper." (he was wearing undies) I looked straight at him and told him to follow me. I took him to the bathroom and said, "Now you will clean yourself, I'm not doing it any more. Call me when you are done so we can make sure your hands are washed." He cried the entire time, but he did it and never pooped his pants again. That was the day I decided ALL the diapers had to go. I had kept some around for night time, but decided it was best to just take the full leap.
Anyway, your son is saying that it is hurting his penis. He is used to his penis being inside a diaper and that feels totally different than underwear, so what he is saying is pain may not be pain, but simply a "different" feeling. Same with the pull-ups- they are diaper like, BUT not the same as the diapers he's used to wearing. Like I said, children don't like change, and for your son this is a big change.
This is a case where persistance and patience is needed. You will have to stand your ground sweetie. He'll eventually get it. Good luck!