Yes - not only is the 'feeling like I'm about to pee' sensation normal its a good sign that you are getting close to being able to orgasm from the anal stimulation. I have never peed myself while pegging nor have I heard of it happening to anyone else but a towel down is a good idea as the orgasm from pegging is a fragile thing and you really don't want any worries or distractions or it may well not happen. I find it helps me orgasm if I concentrate on that 'needing to pee' sensation as it's coming from the area where the anal orgasm builds. Of course there are lots of sensations going on and you just need to relax, accept that they are ok (so long as none of them are painful) and eventually it will happen. Its well worth the effort believe me!
One other thing I found early on was that I became incredibly hot as if I was lying in the sun and we had to stop as it became too much. After a few sessions it stopped happening and it's never bothered me since.