THE urge to urinate during intercourse is usually normal, especially in women.
The urethra is also stimulated during intercourse and, as it approaches orgasm, this sensation intensifies; even there may be small leakage of urine (which is relatively rare).
Some women may have ejaculation (1 to 2%), eliminating a clear liquid, which may be mistaken for urine, but it is a colorless, odorless liquid produced in the Skene glands (paraurethralis). It happens in very intense or multiple orgasms.
Some diseases may occur with an increased urge to urinate, but not specifically during sexual intercourse, such as cystitis (polaciuria), but they are exceptions; in most cases this will is totally normal.
However, if it is something recurring, it does not happen just near the time of orgasm, it is recommended consult an urologist for investigation of the cause and associated treatment.