Is it normal to have to pee when i do this?

Completely normal! So actually find that as a turn on. There is actually pornography solely related to urinating and whatnot.

If you don't like it, perhaps try relieving yourself before you masturbate.

Normal, the increased blood flow and pressure cause your kidneys to process more blood, therefore producing more urea. Also, post orgasm you're coming off that "buzz" and the muscle set that clenches tightly to prevent urine from leaking during intercourse (even if it's with yourself) wish to relax again increasing the feeling you need to "pee".

^ What he said.