The urge to pee?

So I've been with my boyfriend for over two years. He's 18 and I'm 19. We are sexually active. Whenever we have sex, I have the urge to pee. It is sometime immediate and other times it's gradual. (Depends on the position which is why I'm asking for help) I've talked to him about it and he doesn't know why either. We were each other's firsts. I've tried peeing beforehand but I always get the pee sensation and stop him. I feel really bad afterwards because he doesn't finish the times I do stop him. Can anyone explain this? I'm really embarrassed about it and feel like I disappoint him. He is okay with how I am but I really want to figure out what's going on… 😐