I have no burning in my penis, foul smell, itchiness, or pain so why would I have a pricking feeling on the head when I urinate?

Here are some ... Without further detail on the onset, location, degree, duration, interval, evolution, & progress of the burning & its potentially related Sx over time + physicals with inspection, palpation, etc., it's hard to offer a meaningful accurate Dx. So, collect the needed info for Doc to analyze ... so to deduce right Dx for right Rx / care timely. Best wish ...
A tingling sensation. at the tip of the penis can be due to anxiety, contact dermatitis, trauma, diabetes, genital herpes, urethritis and STI's like gonorrhea or syphilis! Keep the area clean and wear cotton briefs. You may apply a low dose steroid cream for a few days. If symptoms persist, you need to see your Doctor/Urologist. Stay well:)