The sound is called a queef or a vart (vaginal fart). Your vagina is like a pipe, his penis is like a piston moving up in the pipe and compressing the air at the top. It can only go out one way, and that is what you are hearing.
Laughing about it is exactly the right response.
Wetness and masturbation does not have anything todo with each other. The wetness is plasma squeezed from the cells in your vaginal wall when it engorge with blood. It is a sign that you are aroused and getting ready for penetration. You get wet so that friction does not burn you. Can you imagine his penis in your vagina without some wetness to make it slippery? I think it will be the end of the human race as everybody will be too sore to have sex.
Masturbation is about learning about your body, sexual response and what you like in safety and privacy. Most women will not learn to orgasm until they can figure it out for themselves during masturbation.
During sex all sorts of things happen in your body. One thing is that your uterus moves. It lifts up inside your body. During orgasm, waves of contractions goes through your uterus. This is part of the pleasure you feel deep inside you. This can cause cramping. In this process, his penis can also bump into your cervix. This can also cause some cramping and bruising.
It is not from him pulling out quickly.
I know you said that you do not masturbate, but one way of finding out what is causing the cramping is to figure out if masturbation is causing it as well.