Why do you pee out of the hole that the penis goes in?

You don't; the opening from which females urinate from is different from a woman's vagina, where the penis is inserted during sexual intercourse-

How to tell the difference:

A woman's vagina is larger (MUCH larger) and it creates its own natural lubricate, of which is created during/before sexual intercourse. The other hole is not quite visible as it is MUCH smaller.

Hope this helps!