So lemme get this one straight...
You know her for about a month and she is consistently throwing herself at you and you make no reply. Then one day you're like, "Okay, get on the bed." So you start doing it but then she starts sobbing. You then "finish up" (and how long did this take? Was she crying for like five minutes before you finally, um, "finished?"), put your pants back on and zip outta there without a word.
I've met people who act in this way, both men and women. I like to think in your case that it was just some seriously bad judgment and you didn't just walk out because you couldn't give a shit but rather because you didn't know how to handle it. That said, if you didn't know how to handle it, you shouldn't be having sex.
It was more her than me... like 80% her. Not sobbing, more of a quiet crying and only for 20-30 seconds. And I was pretty much there.. so it wasn't like I went on for several minutes, it was right at the... point of no return. I didn't zip up and leave. I did try to ask, she didn't say anything, nothing, not a word. Almost like I wasn't there.
I'm glad to hear that you said something then, but I meant that I really think you should say something about it now - sometime when neither one of you is, um, preoccupied. As I mentioned before, I don't think you have to become her confessor or anything, but something like, "I didn't know what to say the other night, but I'm sorry if I did anything to distress you" would be a good thing. You don't have to ask what was wrong if you don't want to - I mean, if it's nothing really to do with you, it's not actually your business anyway. All I'm saying is that I can promise you - speaking as a woman here - that you don't want her last vivid memory of you to be you "finishing up" while she cried quietly. Really.
It all sounds very weird, but that's not important. What's important is that you make the best of a bad situation and do the right thing to the best of your ability.