It's possible that you are one of the few women who are able to ejaculate, but it is not too likely. Most women do not ejaculate anything. I also feel the need to pee during sex because pressure is placed on the bladder. After sex, there is not as much pressure, so that "need to pee" feeling is gone.

You're certainly welcome to explore the feeling though and see if you can ejaculate. A lot of people recommend releasing when you feel the need to pee, but it's probably a good idea to do it in the shower or tub first since it really just might be pee.