One thing to consider is many women confuse needing to pee with being very sexually excited. At the point of orgasm, for instance, a woman might fear she is going to pee - when in fact she's just going to orgasm. This confusion can be added to if the female ejaculates when she orgasms - the feeling of a release of liquid is similar to that of peeing.
This means that you may be excited before you consciously realise it, making you feel like you need to pee, and then you begin to have fantasies. Or the physical sensation of needing to pee is somehow stimulating you.
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