Yes, some women have a flexible and tough hymen.

Most girls tear their hymen around puberty or before. The hymen is so delicate that it can tear from masturbation, tampons, and even running and jumping. There is often little or no blood when it happens, so a lot of times the girl has not idea when her hymen tore. So it is not safe to assume that if there was no blood, there was no tearing.

Some women have a tough and durable hymen that can stay intact by just stretching and being pushed out the way during masturbation, tampon use, and even sex, but that is not the norm.

The most common cause of pain during sex is lack of lubrication, so keep an eye on that. A lot of people feel pain their first time because they are nervous, tense, and aren't lubricated enough. That means sex usually does not have to hurt, whether it is the first time or the thousandth time.

Your boyfriend is right though, none of that stuff is anything to be even remotely embarrassed about.

For more information on the hymen: http://www.coolnurse.com/hymen.htm