Whatever air goes in comes out naturally by the same route it went in. It is like flatulence. Don't be surprised if you see a little blood in the urine when using a catheter. That too is normal, at least in my case it was. I don't encourage this practice, but if you are going to do it, I will be happy to share what I know. I don't consider myself to be an expert on this crude practice, btw. Only someone who took the plunge a long time ago and lived to tell about it. I do not consider it essential for advancement in yoga. Probably the greatest benefit of it was developing an awareness of the inner anatomy of urethra, prostate, entry point of seminal vesicles and the bladder. These are all very sensitive areas, and are crucial in the spiritual transformation process. With awareness of the inner anatomy, the process of transformation seemed to be enhanced, not so much by anything mechanical that was done. As in all things yogic, it is about the blending of inner silence (witness) with rising ecstatic conductivity (kundalini).
I am pretty sure the same end result will occur without deliberate mechanical vajroli practice, because it is a natural evolution that is cultivated by all the rest of our practices, including the tantra techniques in the lessons.
For the ladies, it appears that a similar process of upward absorption of sexual essences from the "G spot" through the urethra to the bladder occurs in the female anatomy, so this discussion may be relevant to both men and women.
Who started this conversation, anyway?
The guru is in you.