Well theres nothing wrong with being a bit shy about being honest as long as you are, it's just another sacrifice for the sake of the relationship. You have no reason to cover anything from him, if you do it will eventually break you apart. At first it's only cute, but as I said in the long run it will lose it's appeal and create rifts instead.
Anyway, if you couldn't be happier as long as he enjoys himself there really is no problem then? The main point about sex isn't to reach orgasm or whatever, it's to have a good, intimate time together, it's to satisfy that urge to be one, both mentally and physically. You really got to appriciate that part most, it's what makes it special. Eventually you'll grow closer together intimately and this sex-thing will get better with time. You should help your relationship too by not ruining it with useless expectations and influences from the outside.
The more you want, the less what you have will be satisfactory. If you had no previous knowledge or experience of sex, it would all be totally new and immensely exciting when you started exploring this thing, even if it by common intellectual standard would be complete failiure. There would be no "omg he comes too early I don't get to orgasm this relationship sucks!", rather there would only be appriciation for all the things that are still pleasurable, it couldn't be better and still it would keep getting better with time. So just forget all other influences and expectations, have something that is completely unique to you two and there is nothing to be sad about.