I don't know how they are such either. I had sex first time at 18, and that was while still being semi-closeted gay in Alabama. Before that, I had girlfriends in high school which wanted me to have sex with them, but I never did because you know not into that...
A lot of those Christian puritan girls are some of the horniest people on the planet btw.
What I surmise is that it is a mental block of some kind that prevents it, either fear of what could possibly happen or not living up to expectations or a conscious choice (though this is much rare in the current day).