Can be a double entendre as it can refer to other meanings as well as the fact that a nice guy will let a woman have an orgasm(s) first thus "finishing" last. This is different from a man who's only concerned with getting themselves off and when they finish first, the women then often doesnt get to finish at all.
"So how was it last night with Joe?"
"Not good he got himself off and was done before i had an orgasm"
"What a jerk, guess he doesnt know, nice guys finish last"