if it gets pulled open and salt or peroxide is put on it, the pain is awful. The same happens here. The wound or opening is exposed to urine, which has ammonia in
it, which is probably painful.
I don't know anatomy very well, so I'm not sure that it's a blood vessel or a nerve, or something else. But it makes sense to me and I've tried explaining this to other people and they look puzzled. It's not debilitating and never lasts a long time, so I don't think it's serious.