Having a cold involves lots of sneezing and/or coughing, that increases the abdominal pressure.
That means increased pressure on the bladder, too, which signals need to urinate.
Also, there is a connection between temperature changes (getting colder) and need to urinate more frequently in some women (some women will even notice that putting their hands in the freezer or refrigerator triggers an urge to urinate).
The explanation is probably having an over sensitive bladder.