The female bedbug has no sexual opening. To get around this, the male uses his penis to DRILL A VAGINA into the female.
The process, known as "traumatic insemination" is a practice used by mites and bedbugs, and a species of spider in Israel called "Harpactea sadistica".
In traumatic insemination the males pierce through the females' body wall to inseminate directly into their body cavity. Their penises (or rather, the bug equivalent) are sharp like hypodermic needles (they're pretty terrifying to look at actually).
Female bedbugs have evolved with an abdominal region known as the "spermalege". The spermalege is a body part that is specially designed to be easily pierceable to minimize damage. Going through traumatic insemination reduces the overall lifespan of a female bedbug, but if they go through the spermalege their bodies aren't damaged to the point that it effects their ability to make more babies.
The Harpactea sadistica spiders, on the other hand, are much worse. The male spider will pierce through the female's abdomen repeatedly, making two long rows of holes. Sometimes several male spiders will join in. This method is clearly not very effective and this species of spider is slowly shrinking into nonexistence.
The picture? That's the expression that was on my face when I first read about this.
(source: 1, 2)