It sounds to me like your baby's head is on your bladder and stopping it from emptying properly or quickly. Could you try sitting with your feet up on a stool and leaning forward to try and see if this change in position gives you more relief?

The other thing that crossed my mind was a UTI. When you go for your next appointment ask your midwife about these symptoms. She will probably check your urine anyway for signs of infection but it doesn't hurt to raise it as an issue and see if she has any insight into what is happening.