It's not specific to anal lubes I thinks check through the ingredients of the ones you're sensitive to, there should be one common factor. We use Maximus but I don't believe it's the best for sensitive bits. Have you tried Sliquid? They do a range that's totally natural, no nasties. And some people have had success with liquid silk too.
Hi there, I personally use Sliquid Sassy for anal play as it is slightly thicker than normal lubes and longer lasting. As Y&F said, Sliquid lubes are very good as they don’t contain any chemical nasties, glycerin or parabens, which are great for sensitive skin: