Slight burning sensation in the tip of my penis and urinary urge after a morning erection sometimes and ive never had sex. What could cause this?

Urinary urge. Do you have any medical problems like diabetes for instance? You say you've never had sex. Do you mean just intercourse? You could have irritated the tip of your penis while masturbating. If so, it should heal just fine. When you urinate is it a small amount or a large amount? It is possible that you might have a urinary tract infection, but less common in men. If persists, see a doctor.
Infection possible. The most common causes of burning in the penis in a man are sexually-transmitted infections which clearly you're not at risk for, urinary tract infection, irritation from soaps and lubricants and perhaps dehydration. Drinking plenty of fluids, avoid scented products and drink some cranberry juice. You may need urine test if it persists. .