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Most women can't orgasm from penetration alone. Stimulating the clit helps.

my wife never has either. We have to use toys, fingers, or oral to get her there.

You are doing nothing wrong, there are many ways for a woman to be stimulated. Penetration O's don't happen for every woman, I'm one of them. If your partner is into trying something new, he could stimulate you in other ways. Many are discussed both here on this site and on Sexis.

You do not say how old you are, or how experienced you are sexually.
The best thing to do , in my opinion is take time to explore yourself, find out what feels good, then do it with your lover, share the experience, and do not worry, take the pressure off.
You can add manual stimulation or toys ( as a last resort), even oral to get there.
Lovemaking is a journey, not a destination, you will eventually get here if you are patient and have a considerate partner.
Good luck and enjoy you sexuality.

I've only ever had an orgasm with sex once without clitoral stimulation. I've been having sex for 12 years, though abstinent for the past 3. So, really, 9 in total. I'm 29 now. But yes I would recommend manual stimulation of the clitoris during penetrative sex. I really enjoyed it when my (at the time) boyfriend massaged my clitoris during sex, it made me explode. Personally though not sure why, when I massage my own clitoris it just doesn't feel sexual to me. Not a turn on. So my only choice for masturbation is a vibrator of some sort.

As others have said, focus on the clitoris.

I had trouble orgasming when I first began having sex. The only thing that worked was a long time of my partner rubbing my clit. We tried doing that during penetration and I just needed so much more time and it was really difficult for me, so it never happened. I also actually dislike vibrators and rarely if ever have use for them. For a few years of having sex, the only way for me to orgasm was just by my partner rubbing my clit, and that's what my partners did. I continued trying to orgasm during penetration while having my clitoris rubbed, and eventually it happened. Now it happens 2-3 times per session. It just takes time, practice, and sometimes the right partner.

I don't want to assume things, but is your partner selfish during sex? That is a problem for a lot of straight women who find they can't orgasm. They just aren't getting the kind of stimulation they need for long enough. Try things yourself and ask your partner to try more foreplay and more clitoral stimulation. If your partner doesn't respond to that...get a new one and I think an orgasm will be easier.

Not orgasming from sex, or even at all during a sex session, isn't uncommon for me. It may be a performance anxiety issue, which is something you have to sort out on your own.