I have had those pee dreams as well. If I have to go physically then I have to go in my dream. However, watch out, if you end up going to the bathroom in the dream be careful . You might go in the real world. That only happened once. In my dreams I've trained myself to not go and wake up.

There is definitely a connection to your physical state and your dreams. One thing I've also noticed is that if I get cold in the real world my dream turns cold. Last night I had a fairly realistically dream of being at a conference and being yelled at for eating too much at lunch. The conference then ended and I went outside to find about eight inches of snow in the parking lot. I then woke up and found I was cold in real life. It has snowed in my dreams more than once when I was cold.