Well, women are more prone to UTIs because of anatomical differences and sex in general puts you at risk for bacteria moving into your urinary tract (Urinary tract infection (UTI) Causes - Diseases and Conditions - Mayo Clinic). I actually ran an online search and haven't found a satisfactory answer for WHY it tends to happen with new partners in particular, but it happens often enough that there's a term for it ("honeymoon cystitis").