Hi,
The hymen is located at the entrance of the vagina, not in the anus or rectum. You may have bled during anal sex because of either lack of lubrication, or rough penetration, that may have caused a tear(s) in the anal tissue. The anus doesn't produce a natural lubricant like the vagina does during sex; that is why lubricant is always suggested during anal sex. If you decide to continue having anal sex, you should consider researching (googling) 'safe anal sex practices' so that you are aware of all the precautions. Take Care
It is normal to have bleeding in the first intecourse. As the second intercourse was better, your hymen is broken.