I was honestly wondering what that third hole was for.

Are we sure this is urethral penetration?

The artist knows enough about bug anatomy to know what a spermatheca is. As such, we can assume they also know that bugs do not have a bladder or urethra. It sure doesnt look like any urethra I've seen, it has a sphincter.

We can see that 3 holes are present. The middle one is the ovipositor, obviously. The last two must be the spermatheca and anus. As the artist described, one of the holes leads to a spermatheca. and the last hole has to be the anus, as an anus is required for bodily function.