I have fraternal twin girls, so they're the perfect nature-versus-nurture experiment. We raised them both (more or less) the same, and Kathy, my gymnast, has a way higher pain threshold than Tory, my dancer/artist (she hasn't gone on pointe yet, so she hasn't gotten to the truly painful parts of dance). AND it hasn't grown out of Kathy being in gymnastics because I knew that this was the case when they were babies. When Tory got an ear infection (typical symptoms... fussy, pulling on ears, etc.) I always made appointments for both girls because Kathy ALWAYS had one too... hers just had to be really bad before she'd show any signs that she wasn't feeling well. One time, when they were maybe a year old, I took them to Florida to visit my grandma. Tory was completely out of sorts... fussy, not sleeping, etc. So I made them an appointment at the pediatrician who saw my aunt's children. I was convinced she had an ear infection. He looked her over and declared her healthy... she apparently was only out-of-sorts due to the change in her location and routine. But since we were there, I had him look at Kathy and she had a raging ear infection and a ruptured ear drum, probably from the altitude of the plane ride. She had been just as happy and easy going as ever and had given us no sign that anything was wrong.
So, from my limited scientific study, my hypothesis is that some kids have a higher pain threshold than others and that these kids are more likely to stick with gymnastics than those who don't.