I'm not sure what you mean. The infection is painful or applying the ozone? For the infection I would use Neosporin or something like that or make your own Colloidal Silver and put it on it.
I've applied ozone directly to a cut or open wound and it stings while applying it and afterwards for a little while, but it didn't last long. Not much you can do about that though. If it's the infection that's making it sore, apply more ozone.
There was a lady I talked to that had Breast Cancer and had the tumor peeling off in her hand while applying ozone to it and she didn't like the stinging from the ozone while applying it. She had to just grin and bare it, but she's alive now. Some times you just have to weigh the options I guess.