You're worrying me a bit with what you wrote.
As I wrote you before, you cannot fill the cannula (the little teflon tube that sits under your skin) before you insert the infusion set because it is filled by the steel needle that helps you place it. You also cannot fill the cannula before filling the tubing because the cannula is at the end of the tubing. Take a good look at a used infusion set to try to understand how the whole shebang works.
You said you had to fill the cannula 2-3 times. The cannula is inside you when you fill it. The inset requires 0.3 units of insulin to fill. So if you did it three times, you would have injected 0.6 units of insulin into your body, and filled it. Maybe you meant the tubing?
What does air bubbles in the needle mean? When filling a cartridge, many of us find that before filling, it's helpful to insert the syringe into the cartridge and suck out a little extra air. This is not a suggested Tandem procedure, however, and the pump tries to remove excess air itself. Cleaning air bubbles from a syringe is pretty straightforward, hopefully the rep showed you how to do that when you were set up.
There are many infusion sets you can try, including angled and 90 degree, teflon and steel needle, manual and auto-inserter. Your rep should be happy to give you various ones to try and see what you like best. Try to be as specific as possible in describing the pain and the circumstances under which it occurs and perhaps we or your rep can help you diagnose what's going on.
Sanitizing the hole with an alcohol wipe is a good idea. But unless there's an infection, you want to be careful not to get alcohol, or antibiotics, into the hole as much as you can avoid it, it'll just kill healthy tissue and impede healing.
You should NEVER fill the tubing while it's attached to you because, as you wrote, any overflow will overflow into you, i.e. you will give yourself insulin.