Well, you know, there's a difference between feeling comfortable about being naked, and feeling comfortable with "orgasming". I think it's completely natural to feel uncomfortable with showing that second aspect to anyone.
First of all, the image of orgasms isn't necessarily something you can relate to. maybe you feel uncomfortable because you feel self-conscious about it, because it's not YOU. for example in movies, orgasms can be linked to such things as pornography, or dirty sex, or... anything "unclean" you might not relate to, or want someone to associate you with. also, girls who are completely uninhibited in bed have a slutty image, so that might be the reason why you're afraid to give back to him: maybe you're afraid to be "unclean". i know i felt awkward reacting at first. but just give it a try, laugh about it, and you'll see making him pleasure will be as fulfilling for you too. start out slow and tentative, and only do what you feel comfortable doing, and you'll see it will become easy. maybe you should spend a whole night taking turns pleasuring each other, once for you, then once for him. not only will it get you comfortable and make you realise you can be yourself in those moments, but that way you'll learn what really gets each of you going, and it will give you a whole new level of intimacy you never knew you could achieve.
Second of all, in the instant of orgasms you have to be COMPLETELY naked... not just physically. you no longer have control. no matter who you're with, it's always going to be difficult losing full control in front of someone.
So if i were you, i wouldn't be worried. It doesn't necessarily mean that things aren't working out between you two. after all, a month and a bit isn't that long, maybe all you need is a little time. there's no shame in that.
maybe you should try taking it really slow next time you want to get intimate. try talking to each other while things are happening (not necessarily dirty talk! although.. whatever works for you! *smile*), and using lots of caresses just to get at ease. if you don't feel weird about it, tell him your situation, maybe he's the type who will understand without taking it personally. and hey, if all else fails, you can try bandaging your eyes, just to see if that releases a bit of your inhibitions.
In any case, good luck! and as other people said... just relax! it's normal! and sorry this was so long.