I have the same sort of problem. If I want to reach a climax while penetrated I begin with normal sex, then masturbate until I can sense I'm nearing orgasm, then return to penetrative sex to finish off.
In my case it's a known side effect of the medication I'm on for epilepsy, as quite a few meds have this problem - especially ones for neuro complaints, such as anti depressants & cardiac beta blockers. Perhaps you are on something of this ilk.