If you are having sex regularly, it can irritate your urethra and bladder. This could develop to cystitis if not looked after (you experience a burning sensation every time you pee).
When climaxing, urine can escape the urethra if it has been numbed or damaged by friction. It usually eases by itself when less intercourse is involved…but that’s no fun!!

To ease the friction and irritation, try lubrications. Or if you are experiencing a burning sensation when you pee, ask your doctor what you can do to ease it.
References :
http://www.irishhealth.com/article.html?id=1170

personal experience!

Some people mistake the fluid from female ejaculation for urine – but it’s not, even though it exits through the urethra.

Women that can ejaculate, often do so with stimulation of the G-spot, which is on the front (toward the belly) wall of the vagina, near the vaginal opening. If your fiance is rubbing a lot in that area, that certainly may be what’s happening.

If it is, don’t worry – though the percentage of women who can do this is small, it’s completely healthy. Some men even consider it sexy!

PS: That definitely sounds like the behavior of female ejaculation – it comes out with the contractions of orgasm. )
References :
One of my ex-girlfriends was a female ejaculator. )