No, an insect could not fly up your urethra. If you are not actively urinating, the urethra closes, allowing no access. Even if the insect had tried to enter in the split second right after the stream of urine stopped (extremely doubtful), there would still be some urine present which would soak the insect and severely limit its ability to move. It would be ejected the next time you urinated.
I'm not a urology expert but I would say that it is highly unlikely that a bug flew up your urethra. If you are prone to OCD irrational thinking, this is one of those thoughts that an OCD person would come up with for sure. As long as you are urinating normally, have no discomfort or anything like that, I'm sure there is nothing to worry about.
Incidentally, have you ever received an OCD diagnosis and gotten some help for it?