I have a tutor-student relationship with the person. We refer to each other as "usted" but I don't want to be called "Don (my first name)"; it feels too hierarchical.
Just let the other person know about the fact that it makes you uncomfortable, that you feel it like an overly formal treatment.
Por favor, no me diga Don. (Sé que busca ser respetuoso pero me pone incómodo la distancia de tanta formalidad)
¡Con que me diga
<your name>está bien! / [es suficiente].
I think you have to be careful here what you ask for. If you want to be addressed by your first name you are inviting a move away from usted which the student may be very uncomfortable with depending on the ambient level of formality in your institution.
I used to try to get visiting students to address me by my first name as I felt that travelling to a foreign country was partly about adopting the customs of that country. When some of them continued to call me professor I eventually decided that it was not my job to make them uncomfortable so I stopped insisting.