There are lots of things that will give an irritated or heated feeling to the anus and rectum. Individual sensitivities vary, so experiment with very small quantities and much care.
A Q-tip dipped and re-dipped in liquid hand soap or body wash used to paint the plug.
A Q-tip dipped and re-dipped in Dr. Bronner's peppermint castile soap, same.
A Q-tip wet with a liquid dishwashing detergent used to paint the plug, the Q-tip wet with water to spread it farther if needed.
A pea-sized portion of mint toothpaste.
A smaller portion of cinnamon toothpaste.
Powdered ginger mixed into gel-type lube. (Ginger paste is going to end up mostly on the outside; it won't stick.)
Vicks, as mentioned above.
Noxema face cream, which contains eucalyptus as a mild irritant.
A sprinkle of cayenne added to lube or Vicks, if you dare.