I really hurt when having needles stuck in me. What can be done to diagnose fever of unknown origin?

Depends. We all hurt when stuck with a needle. Fever of unknown origin is called that when the cause of fever cannot be diagnosed in a few weeks. It often requires collaboration among multiple specialists to sort the cause. In short, it is not practical to address the issue in a brief note.
Still need testing. No one likes to have needles but without the testing whcih also includes non- needle testing you eventually are harming yourself by not having the correct testing. You might also need biospies. Needle sticks are no fun but we can make them less painful and you can even have an anesthetic patch or ointment placed on the skin before the needle stick. Ask your doctor or pharmacist.