When I get hot I don't sweat, instead I get a stinging pain on my chest and my face/head a lot like when your feet fall asleep, how can I fix this?

Sweat glands. Everybody's sweat glands don't behave the same during exercise. However, make sure you have enough hydration which may enable your sweat glands to be more efficient and prevent overheating. I believe that retained heat causes your skin symptoms.