The bladder lies close to the front vaginal wall, so any stimulation to that part of the vagina can make it seem like you have the urge to pee. I'd say it's only a feeling and not a real urge, especially if you've emptied your bladder. Also, female ejaculation will come through the same path as urine would, so it may just trigger some squirting instead. It's never happened to me but I keep trying!
I would say fingers are better because of knowing what to feel for and just general comfort with the situation at first. But after reading Starkizzer's latest post, I think she may enjoy a vibe, since she says herself that fingers hardly get her off. There are lots of vibrator geared towards the g-spot, but recently one of the best sellers in most sex toy sites is the we-vibe (which we've talked about elsewhere in TFP). Not sure if its hype or actually true, but I'm certainly curious.