Depending on the environmental temperature, a human body usually feels warm, and the inside of a human body is always warmer than the skin. It physically has to be that way, given that no cooling or heating system (biological or otherwise) is perfectly efficient. Ditto for any bodily fluids.
So your urine is as warm as deep inside your body, which is definitely warmer than your skin, or more external parts of your body. Your bladder and urinary tract do have thermo-receptors (nerves which detect temperature). So you are probably feeling the temperature change from the warmer fluid further inside your body, flowing past these receptors.
Edit: tl;dr yes
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