When I have to pee sometimes I also feel horny, why?

I do not know. There are all different types of fetishes and maybe you somehow equate the process of urinating as being sexual or sensual and this makes you "horny." as long as it is not effecting your life abnormally, you may just need to live with it. If you feel it is affecting your life, then seek help with a psychiatrist/therapist. Best wishes.
It is possible. Sometimes when a woman is peeing , it exert a little pressure on her clitoris or vaginal area and there is an excited sensation. Don't worry. You are completely normal.