When R' Chanina ben Tradyon was being burned alive he requested that they remove the wet towels which were prolonging his death. This would show that he was indeed in pain. In addition, when R' Akiva was being tortured to death with iron combs being raked across his skin, his Talmidim asked him how he could concentrate on the Shema. Again this shows that he was in pain. See Gemara Avodah Zarah 18a and the last page of this pdf version of Kinos. Don't both of these show that they do indeed feel pain?
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