You don't need to say 'पैर के', the word 'उंगली' covers any digit, and you can let context do the work for you. =D
why is "there is pain in my toe" wrong? Maybe it doesn't sound 100% natural but i still think it should be accepted
in another question the correct solution to मेरे दिल में दर्द है was "there is pain in my heart". So why is it right in thet case but not this? Is it because of हो रहा?
उँगली is the singular oblique case. The plural oblique case would be उँगलियों .