I managed to get an appointment to another doctor so hopefully this one will be able to resolve my problem

OP do keep in mind that penetrative sex (specially the rough type) rubs or puts pressure on your bladder and prostate, thus making you want to pee, which makes it very common for us ladies to want to use the toilet after rough sex. Every body is different, and every bodies anatomy too so what might bother you might not bother others. This doesn't mean you have a UTI just means you've had your bladder stimulated after rough sex and want to pee. I'm no doctor but had a similar problem, got all sorts of tests and this is the conclusion my OBGYN came to.

Ana30, yes but the thing is that it happens every time, even when the sex isn't rough at all, I definitely might have sensitive bladder/urethra

Could it be the condoms or lube that's setting you off? I had to switch to Latex free as sex was becoming unbearable. It definitely made a massive difference.

Gina, I use latex condoms (durex) and never had any problems with them so far. I don't have any latex allergy as far as I'm aware but will definitely try condoms without latex to see if it makes a difference

Have you ruled out cystitis ? I regularly (a couple of times a year) have to take those foul sachets which seems to clear it up for a bit. I take the sachets with weak squash or I could never drink them. . I find rougher/ bigger than normal or if I drink wine over a few days , I tend to get it worse. Currently drinking one as we speak 

Cranberry juice also helps . I also use Canesfresh Soothing Gel Wash ( can get it on Am*zon) when I was to soothe things a bit.

I had this about 4 years ago - went through the same GP advise, antibiotics, cranberry juice and all that. No use whatsoever. The only thing that stopped it was not having sex  for a time... then if I started sex it came back. It also seemed to be worse when I was on my period but then get better at the end of my period (probaly cus of no sex).
Sorry if this is TMI but one thing that my GP and GUM clinic did not do was do a physical exam - I did my own exam which is quite difficult (used photo on my phone and then later asked a good, trusted and non sqeemish friend to take a look). The soreness was very localised to the opening of my urethra and there was what looked like a tear or split right at that point.
I went back to the doctors and saw another (female) GP who took one look and said that I had a torn and scarred urethral opening. Her advice was to stop having sex for a few weeks and always use lots of lube and no rough sex. She said that this would aways be a weakness in my anatomy and that I should be very careful when I had sex and foreplay (fingering).
Since then, I have blocked a couple of regular clients who had rough tendancies and stopped allowing oral on me - seems to have worked. I also think prolonged intercourse in missionary is a trigger - doggy position seems to put less strain on that region too.
My advice would be to get a physical exam
The scarring is still there and I can still feel a lumpy bit.