While I'm sure you're not the first person to have this desire I feel compelled to say (as I have countess times before), if it's not sterile, it shouldn't go in the urethra. I am a lover of urethral play myself, so I know where you're coming from and I understand how great the sensations from urethral play are. But I'm also a patient who is on the waiting list for a kidney transplant. My kidney disease has nothing to with urethral play, but believe me, you don't want to end up where I am now. As the end result of a worst case scenario, you could be in my shoes.
You say that you and your husband play "clean". Clean isn't good enough, not by a long shot. You could easily develop a UTI and those pathogens can migrate to the ureters and to the kidneys. If that pathogen is resistant to common antibiotics, you're in a world of hurt. His thumb isn't sterile and neither is his penis. If you read the other threads about urethral play, you'll find that most people play with sterile catheters and sterile sounds. Those that make use of aquarium tubing and such things are asking for trouble.
One of the medical professionals on this board can speak to the following issue better than I but have you considered the anatomical consequences? To my knowledge, the urethra doesn't have the musculature that the vagina or the anus have. It would seem logical to me that after a period of time the urethra wouldn't "snap back" to its normal state. If the urethral sphincter was involved in this stretching regime, you could become incontinent.
At the end of the day, the decision is yours to make. I would weigh the options carefully, kind of your own risk/benefit analysis. For me, the benefits don't come close to outweighing the risks.