Arduino Pro Mini (5V) Raw Pin and VCC Pin
As others have pointed out, without a current limiting resistor you may have fried the LED. Thus you might need another LED to test with. On a typical LED with a 1.2 forward voltage drop, a 220 ohm resistor will limit current to about 17 mA (i = v/r.)

forward voltage = supply voltage - LED voltage drop
forward voltage  = (5.0 - 1.2) = 3.8

current = 3.8V/220ohms = 17 mA.

Check the specs on your LEDs. 1.2 V forward voltage drop is common on little LEDs. Max current of 20 mA is common as well, but it doesn't pay to go all the way to the max. That's the "do not exceed or you may destroy it" level.