NEVER had an orgasm.

I'm pretty sure I've never had an orgasm. Like ever. Sometimes during sex I get this overwhelming feeling that I need to pee but it also feels kinda good and I read online that if I kept going that would be the big O but then I'm just scared I'm gonna pee on him and also the feeling is kind of too much to keep going so I make him stop. I've been having sex for about 4 years and nothing. Is this normal? I added on anon because I'm kinda embarrassed tbh. I really enjoy our sex so why can't I have an orgasm? I don't really play with myself because I live with him and why not? Lol but when I did I've kept going when I had that "pee" feeling and there was a liquid substance but it didn't look or smell like pee so what was that??