My guess is that she is feeling like needs are not getting met, but doesn't know how to express it. Possibly she feels like what she is doing is emotional, but you are going out to get sex, and that feels like cheating. Also, being new to this, possibly she feels like, if you have to go elsewhere to get sex, then she isn't good enough/fulfilling/important.
Absolutely you need to sit down and have a talk. You need to let her know that you feel it's one-sided, and you both need to know what you each expect from the relationship. If she says she's okay, then you have a right to know why she gets upset when you go out. It's possible that she's saying she's okay with it because she wants to make you happy.