I'm wondering how you introduce the topic of anal sex to your girlfriend. Sometimes when she's sucking my cock, I fantasize that she's going to slip her finger up my ass. But she never does. When I masturbate, I often think of her staring up at me, slowly wetting her finger by sliding it into her mouth, then teasing me with it while she licks the head of my cock. My girlfriend is a little uptight, and I wonder how she would react if I asked her to do something like this. She might just think it was dirty and a big turn-off. Or she might think I am gay. Which I know should not bother me, but it does.
There are a fair number of straight men who nevertheless like some kind of anal stimulation or penetration. I know this isn't part of the traditional script for masculine heterosexual pleasure in our culture. But my position is, if your nerve endings are friendly and in good working order, why waste a potential source of new and entertaining pleasure? If anybody questions your sexual orientation because you like fantasizing about and maybe even doing this particular activity, send them my way, and I will put them straight. So to speak.
Before you ask your girlfriend to do something that (a) she may not like, and (b) you've never tried before, buy some lube and do some consumer testing the next time you jack off. Slip your own well-lubricated finger or a very small butt plug up your ass and see if you like how it feels. (Just don't put anything up there that doesn't have a base large enough to keep the object from going all the way into your ass. And don't use anything that's sharp, abrasive, or breakable.) You may find that this fantasy makes a hot imaginary visual when you masturbate, but that doesn't translate into instant ecstasy in real life.
Even if you don't fall madly in love with anal penetration the first time you try it, you don't necessarily have to give up. This sex technique can be an acquired taste. All of our training, if I may use that phrase, tells us that when the anus is dilated or we feel something in the lowest part of the rectum, we should push out. Anal sex requires a very different skill: holding still and enjoying that fullness. The size, texture, and shape of what's inserted and the angle of penetration also influence how it feels. You may need to do some experimenting before you find the right accessory to do the job.
Broach the subject of anal sex to your girlfriend at a neutral occasion when she won't feel any sexual pressure. Just do a little opinion poll. Find out if she has any positive or negative experiences with it. Even if she vetoes the idea, let her know you think this is an exciting way to make love, and if she ever changes her mind, you'd be happy to go slow and show her why you like it. She may have an easier time understanding your desire to penetrate her anally than she will understanding your desire to be anally teased during oral sex. So you might want to take a bit of a detour and show her how nicely nasty it can feel to be anally finger-fucked.
Novices at anal sex can be reassured about hygiene if you administer a small enema with tepid water beforehand and have latex or nitrile gloves available. Toys are also good for keeping a distance from Imaginary Pooh. It is important to remember that shit is a substance not unlike mud, and can be washed away quite easily. Put a condom on any toy that's going to be inserted anally (or vaginally, for that matter). The condom keeps bacteria out of pores in the surface of the toy and makes cleanup with soap and water easy to do.
Some guys enjoy fucking while they wear a butt plug. They find that this extra pressure near or on the prostate makes the act extra intense. Depending on how you arrange the act of intercourse, she may not have to know that you're wearing an extra passenger when you get on top of her. I don't necessarily recommend this, since an accidental discovery of the sex toy will probably upset her. But it is your body, and you ought to be free to enjoy as much pleasure as you can from any part of it.
Finally, it occurs to me that your fantasy isn't just about her finger; it's about her taking control and teasing you, while you are helplessly aroused and waiting for her to work her wicked wiles. If she doesn't want to engage in anal sex, is there some other way she could take a little more control when the two of you have sex, get you on your back, and torment you till you explode? Your fantasy may be about getting done as much as it is about anal sex. I don't know how comfortable she might be with this power dynamic. It's just one more thing to explore together that might enrich your sex lives.