When I orgasm, nothing comes out. Is there something wrong?

Orgasm. For women it is normal not to see anything come out of the vagina with orgasm. For men, it is normal to see an ejaculate fluid come out of the penis, except in the cases of retro-grade ejaculation where the fluid passes backward into the bladder.
Sexual response. Women will have rhythmic contractions of the uterus and the pelvic floor muscles that are pleasurable. There is no substace being produced or expelled from your body. You will produce mucus for lubrication during the excitement phase to allow for comfortable penetration.