I lived with my aunt and uncle for a summer when I was attending college, and my aunt got comfortable enough with me to tell me that she had seen a therapist because she didn't enjoy sex. The two decided that religion was to blame. My aunt had felt that sex was bad and had to learn to enjoy it.
Is this a general phenomenon? The MIDUS Study asked about how often people go to church and how much of the time do they get pleasure from sex. The correlation for 1,188 men is .05, and it's -.05 for 1,200 women. Neither association is statistically significant. There's basically no link between religiosity and enjoying sex.