Help? Possible UTI?

Once in a blue moon (every 2 or 3 months) it'll feel like my lady bits are on fire and have to pee badly when there's nothing in my bladder. Then when I do go pee, it still feels half way full. Usually this goes away on it's own after 3 or 4 days but those few days really suck. I do live with my boyfriend and we do have frequent sex. Yes I try to use the bathroom after each round but that doesn't always happen. Is it a UTI?? If not, what's going on?