Why does Lucy cry in pain after seeing the old man beside her?

As explained here:

Lucy’s final and most horrifying move toward self-surrender comes when she agrees to drink a soporific tea, after which, the madam explains, she will wake up feeling “profoundly restored.” What the madam does not tell her is that while she’s asleep, a man will come in and do whatever he likes to her naked, sleeping body, as long as it doesn’t involve penetration.

[...]

Lucy knows none of this but it’s not a stretch for her to put the pieces together; after all, she’s being paid by the same madam who insists on secrecy for the sake of her clients, and when she finds that telltale burn, it becomes clear someone is touching her while she sleeps.

The idea nags at her so much that she buys a tiny camera and sets it up on a shelf just before passing out during her last appointment.

WRT the ending:

In the film’s final violation [spoiler alert], the same elderly man who hosted the party (the one who kindly tells her “no harm done”) commits suicide while in bed next to the sleeping Lucy. The madam wakes Lucy while the corpse is still lying next to her, and the full weight of what has been happening to her finally comes crashing down.

An additional interpretation:

I see the ending as a kind of total inversion of the traditional story of Sleeping Beauty, where the prince wakes her with the kiss of true love.

A repeat client (the first one Lucy had, in fact: a dolorous, cryptic old man who just gently touched and admired her sleep-heavy, milk-pale body, and then lay side by side with her in a semblance of sleep) has requested that he be allowed to die in bed with the unconscious Lucy. (Presumably the body would be taken away before she comes to, with her being none the wiser.) Having agreed to this request, at the start of the session Clara doles out for him a lethal dose of the same drug that gives such a total, beautiful sleep to Lucy.

Some time after, Clara is sitting at the foot of the bed, having checked the old man’s now-dead body, and, observing that Lucy is deathly-still and doesn’t respond to her touch, she panics, in sudden and uncontrollable fear, terrified that she may have died, and she desperately tries to wake her up, shaking her by the shoulders violently, and even trying to give her mouth-to-mouth respiration (the “kiss”).

When Lucy suddenly awakens, disoriented and shocked, coughing and sputtering, she looks around, only to see the old man lying dead in the bed next to her. It’s not her prince, but this sick old man who’s used her to fulfill his strange macabre-erotic death wish. It’s not the prince’s kiss which awakens her, but Clara’s breath of blind panic and terror. At this point she breaks down, screaming, sobbing, and pounding her hands against the headboard, in a long, unbroken torrent of pure, naked, raw, piercing emotion.