Why do we urinate more when we are nervous?
I found an interesting article that dealt with anxiety and micturition. There are no proven or accepted view on this. There are a few theories as to how this happens. 

I am quoting it:


  There are several beliefs for what causes frequent urination from anxiety, and the likelihood is that all of these factors play a role:
  
  Muscle Tension – This is one of the most likely causes of frequent urination. When you have anxiety, your muscles get very tense. This tension puts pressure on your bladder, which in turn makes you feel like you need to urinate more than you would otherwise.
  
  Evolutionary Adaptation – Another theory is that there is an evolutionary reason that frequent urination would be advantageous. Remember, anxiety is the misfiring of your healthy fight/flight system. In times of fear, urination may keep the body lighter by losing extra weight, making it easier to flee.
  
  Light Overload – It's also possible that, because anxiety is a misfiring of the fight/flight system, your body may simply be lightly overloaded. The fear is not intense enough to cause immediate urination, but it may make it harder for you to feel like you can hold it back.
  Also, those with anxiety are more prone to focusing on different sensations unintentionally. There are often times when you may feel the need to urinate slightly but your body has no problem ignoring the feeling and holding it back. With anxiety, it's possible that your brain is focused on the sensation, potentially causing you to feel like you need to urinate more than you do.
  
  Finally, anxiety can also change your body chemistry, altering your digestion and changing the way you process nutrients. That may cause more water to pass through your body.


Source:http://www.calmclinic.com/anxiety/signs/urination-problems