Does anyone else have this issue

No, never happened to me. Seems my prostate swells and blocks urine flow during my sessions.

I would speak to your urologist.

Whenever we play and the pwaves really start building I feel like I am going to orgasm and ejaculate but what ends up happening is urination.

My initial thought is that you may just have some weak PC muscles. You didn't mention just how many sessions you have had but if it is less than a dozen then it may simply be a case of your muscles needing more time to tone themselves up. If this is the case then I'd suggest you start an exercise regime of Kegels. If you don't see some significant improvement in session continence after a month or two then it may be a good idea to get yourself checked out by a urologist as @Nutz92 suggested.

What I would like to know is how common this is, and also is there a way to stop the flow?

I don't know of any statistics regarding this phenomenon but I know it has been reported a couple of times during my 11 years of participation on this forum. Because the Aneros may also be applying pressure to the bladder during orgasmic contractions, it is quite possible you may be getting some leakage through the bladder neck valve. Making sure you avoid drinking anything an hour prior to and have a fully drained bladder before starting an Anerosession is probably your best action to minimize future leakage problems. Good Vibes to You !

Are u sure it is urine?
you might be having release from prostate or seminal vesicles.
just wondering. Or is it frankly just clear yellow pee.......