It’s an instinctive response that takes advantage of a quirk of our biology. What it boils down to is the nerve fibers transmitting those pain signals are spooling up, intensifying the pain signal to your brain with each second after the initial injury. However, those nerves can only pass so many signals at once.
Stimulating the wounded area, like by sucking on the finger, interferes with this process. Those nerves sensing pain are suddenly having accommodate an additional stimulus that is non-painful. In effect, this leaves less bandwidth for the original pain signal to occupy, resulting in you feeling less pain.
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