The term cum has two general meanings:
* Orgasm for a woman
* Ejaculation for a man.
I am not sure what you mean by saying that you had an orgasm, but did not cum?
Are you talking about female ejaculation, or about squirting/gushing? These are special things that happens to your body. It is not a given that it will happen. In fact, most women will never emit any fluid during sex, except for the normal arousal fluid.
It is not unusual to not orgasm during first time intercourse. Some women are however lucky and will orgasm the first time.