Around 75-80% of women cannot orgasm from penetration alone (and need direct clitoral stimulation). It's incredibly rare for women to actually orgasm from penetration alone, and those who can often have a slightly larger internal clitoris (as it's a large organ that is 80% the size of a penis, most of it is internal).
The vaginal canal itself has very few nerve endings in, and only until about 3-4" in. You're not odd in the slightest.
A few tips, though, would be to orgasm before engaging in any penetration. Whether it's by yourself, or your partner makes you orgasm, it should make you more aroused/lubricated, relaxed (so penetration will be easier), and also orgasming increases sensitivity so you should be able to feel a bit more in your vaginal canal (which is what I do - although it's not enough to orgasm via penetration, it's still much more pleasant than feeling... well, numb).