I think what everyone is getting to is this:
It may not actually be the presence of urine in your bladder that is making you orgasm.
Instead, you may be unconsciously tightening your "pc" muscles that everyone keeps talking about. These are the same muscles that allow you to stop a stream of urine half way through peeing.
These muscles are associated with orgasms, vaginal tightness, and a whole bunch of other things in women. What they can do for you really varies woman to woman. In your case, it seems just using them can cause an orgasm; lucky!
Try this out: Go to the bathroom and empty your bladder. Then, tighten those muscles in the same way you do when you're holding in pee. If you orgasm.. then it's your pc muscles doing the work
You might also be talking about the urge to pee when having sex, and that's something entirely different.