That's a hell of a first lucid. I've had a couple of dreams about urinating, but as a few of the others said, I've woken up before reacting in real life. I had a close call once. Usually somewhere in my mind, I realize that peeing in a dream is a TERRIBLE idea.

I think my dreams have gotten to the point of relaxing my bladder, but then part of me freaks out and wakes myself up.