I will add that if you know you emptied your bladder before sex, and you experience that sensation during anal, I would recommend that you have sex in a place where it would be okay to just let it happen, like a shower or over a tile floor. Just eliminate the worry of "what happens if I actually pee!" and let your partner know what might happen. Them just go with the feeling and let whatever happens, happens! I bet it may be amazing!
When I explored anal play on myself I had that sensation of needing to pee. I was in a bathroom over a tile floor so I just let it go. To my surprise, I did not pee, but I had the most incredible ooze of fluid that accompanied a full body, orgasmic experience, that opened a whole new level of anal pleasure! It was beyond anything I ever experienced! Anal pleasure has great potential that many fear to explore fully!!!
So, to anyone exploring,... don't hold back... let it fly!