The first time Mrs Sen and I tried pegging, she was wearing internally her remote love egg (fifty shades of grey one) and I think her butt plug too. This gave her physical stimulation internally (although not clitoral) as well as the emotional / mental connection that the act brings.
Her fears are likely to be not wanting to hurt you, unlike when you insert your penis, there is minimal connection between the end of a dildo and your partner, she will need guidance on when it is in the right spot, how far in is good for you and at what pace to proceed with thrusting. You will need to be very communicative during these phases.
Also, make sure you are 100% at ease with the toy that will be inserted, I'd suggest using it solo initially, or, with her watching while you are 100% in control so she can see how you react to the toy.
Talk afterwards too, tell her what you liked and what could be improved upon next time. Build up her confidence if you want to do it again, really emphasize not only the physical sensation but also the mental side of the change in roles.
Part of her fear could also be if you like the sensation of a dildo, you might want to try a real penis at some point. Only you will know what you do and don't want (and some women do fantasize about their male partner having sex with another male). Although married 20+ years now, Mrs Sen has brought this up a few times. She says it in a "joking / poking fun" sort of way (without being cruel), but the fact that the thought is there indicates it is in her mind at some level (even deep in a subconscious fear). I reassure her that I have no desire for a real penis, that it is her that I want to be with and that I feel extremely close when it happens.
You will both need to be somewhat relaxed and open to whatever transpires. Remember, if you are delving into anal play, there is a chance of a mess. As Alicia4Ever says, you can take certain steps to reduce the chances of it occuring, but, $hit happens. Clean up and move on, don't freak out and remain calm and in control.
Most importantly, have fun