Hey man, i used to get this too sometimes. For me, it was usually throughout the shaft, and a little at the exit point.
When you jelq, you are bringing lots of blood into your tissues, which gives you all the benefits of what jelqing accomplishes.. but you are also, indirectly squeezing the urethra (the tube which piss and cum flows through, and out of) and certain people, it just hurts it more when you jelq and stuff.
you are smashing the two walls of the urethra when you jelq, and may cause slight damage.. However, your penis quickly heals itself overnight, maybe 2 days if you are really sensitive.. but over time, you will develop a stronger urethra too, and this will not occur anymore. I never bothered worrying about it.. and it will grow immune to damage through jelqing, soon...