Pain around a mini-implant (mini-screw) is to be expected for the first few hours after it is placed. By the next day there should definitely be no sensation around it. If pain appears around a mini-implant at some point during treatment, it may be due to inflammation of the gum around the implant caused by trapped plaque. Your first response should be to clean the gum carefully with an interdental brush dipped in hydrogen peroxide or mouthwash. If it hurts when the brush touches the implant, it may have loosened and need to be placed again by the orthodontist.
This answer is for general information. Your own case needs an examination by an orthodontist.