Is it an internal or external dildo? I'm going to assume internal, since you mentioned the lube, but if it's something you only use externally, let me know.
Do you clean it every time you use it?
The burning could simply be irritation from using the dildo without enough lube, like having sex if you aren't lubed enough. When you peed, did it burn when it hit the skin outside, or burn from the inside?
I don't think you need to worry right away. If it's burning from the inside, increase your water for a day or two, and see if that helps. Maybe you're just a little dehydrated, and irritated, and together, it hurts. Add shaving on top of that, and you might have more irritation.
I don't see any reason to jump to herpes as a concern.
If this lingers more than a day or two, get it checked by a doctor. While it's possible to get herpes while wearing a condom, the chances are much lower than if you didn't use a condom.
Let us know what happens. :)