Here's the thing: People are built to either have sex or go pee, but not do them at the same time. If you did have big muscular contractions and a lot of pressure and you really bore down, you might pee a little. It's possible. And it's OK. Our bodies make lots of different kinds of liquids, and that's what we are, we're liquid. Even so, most women are not peeing during sex.
What I recommend is that if you do feel that sensation during sex play, take a deep breath and relax your muscles and trust your body - and keep playing! What you are likely to find on the other side of that is deep pleasure and orgasm - not pee. This will be hard at first, but if you practice relaxing and trusting your body, you can retrain your brain to recognize what's actually an orgasm on the way (and for some people, possibly even a squirting one).