Clams do have some sort of brain but a central brain like humans and other animals have.
Instead of a central brain like humans clams have two ganglia and masses of around their body so they can indeed feel pain.
The nerves and ganglia allow the clams to move and open and close so they are alive and have a nervous system that controls their movements.
When you cut into a clams nervous system and muscles it kills them so that they cannot close the shell again after you open it.