Pain which is present during and after sex might originate from the inner genital organs. An ultrasound scan (abdominal and vaginal) can reveal more information about the possible cause for this type of pain. Infection of any inner genital organ can cause painful sex. Women that wear IUDs are more susceptible for developing genital infections than women without IUD.
You can ask for second opinion from a gynecologist.

An ovarian cyst is usually not painful but it can become painful when the condition is complicated by an infection, bleeding, perforation, necrosis, etc. Ovarian cysts causes irregular menstrual cycles if hormonally active.