Well, depending on who you talk to, there are some people that say females don't have ejaculation during orgasm, others say it does happen. I know for a fact it can happen, but I'm not convinced every woman can. Also, as you said you held back because you felt you were going to pee... this is common for women, and when they hold back they keep themselves from achieving orgasm. Now, it is also important to know that for men and women ejaculation and orgasm are not synonymous. Many people believe they are because they happen concurrently most of the time. But it is quite possible to have one and not the other. There is really a laundry list of reasons why a woman is not experiencing that gushing feeling. Most likely it's a mental block, because unless you've done it numerous times, it is very difficult to differentiate that feeling from urination. That being said... does your boyfriend mind if a little urine escapes? If not, my advice is to relax and let what happens happen. Sex isn't always pretty like the pornography business. Sometimes there is some pee coming out when it shouldn't, or a fart might escape at a most inopportune time, or sometimes more.... but it happens naturally. And one should never have to worry about what might come out of them suring sex, or they might not be able to reach their full pleasure level.
I think if you put a few towels down underneath you (I even have a friend who uses part of an old shower curtain under some towels) and just tell your boyfriend you're afraid you might pee a little, but you think you're going to cum... then ask him if that's OK. When you let loose and let what happens happen, you should have a much more enjoyable sexual experience :D