I also wanted to add - my daughter has found shots that are pre-filled syringes and have preservatives that burn actually MORE painful than the pen version, because they are slower and prolong the burning.
Honestly, every kid is different and unfortunately, it's trial and error to figure out what works.
I do think seeing a psychologist can REALLY help kids/teens/young adults cope with the challenges of having a chronic illness. For my younger daughter, who has had many surgeries and many hospitalizations, seeing a psychologist made a world of difference.