Can you get an erection by yourself or can you not get one at all?
If you can't get one at all, it could be either of those things or something else. You should see your regular doctor and get a physical. You could also see a Urologist, but your primary care doctor should fine for a first-step.
However, if you can get an erection by yourself, but not with your girlfriend, then it's probably anxiety. That will have to be something you have to work through. Realize that she's with you, not with any other guy. So there must be something special about you that makes her want to be with you, even if you aren't experienced. Maybe she likes the fact that you haven't been with a ton of girls. If you are worried about pleasing her, just ask her what she likes. And remember that a relationship isn't all about sex. Focus on friendship, getting to know her, and letting her get to know you. That's important, as well.