Feeling the need to pee while having sex

Just these past couple of weeks I feel like in certain sex positions I'm gonna pee myself (I've tried peeing before hand). And I know that for a lot of people that means you're going to squirt (which some people say is just pee?). But is it still coming out of the urethra? And how does it get there in the first place? And why don't I know any of this information!?! If someone could explain that would be greatly appreciated!