When you have intercourse for the first time, the hymen
(the membrane that covers the vaginal opening) ruptures and this could be the cause of the bleeding you had. Also, it can cause a type of bladder inflammation
called'Honeymoon cystitis', which usually subsides in a few days with medication. This may be the cause of the burning sensation. As you have missed your period, perform a pregnancy
test with a fresh sample of early morning urine and see a gynecologist for further advice. Please follow precautions in future if you do not want a pregnancy. Take care.