In terms of physical arousal, that's common, because the bladder just happens to be in similar area to your sexual organs, and so if it exerts pressure on them, the physical signs of arousal can occur. It also doesn't really mean anything, it's just the body reacting thing.
Sexual fantasies about pee are probably something different. In truth there is a vast range of different things people fantasise about, and not everyone can pinpoint exact reasons why something is erotic for them. It just kinda happens!
I hope that answers your question!
"In between two tall mountains there's a place they call lonesome.
Don't see why they call it lonesome.
I'm never lonesome when I go there." Connie Converse - Talkin' Like You