Yes you can - and from the sound of it, should - say no.
The closer your knees are to your chest, the deeper the penetration can be. A number of things can affect whether that is nice or not, but if you are actively disliking it, just say their penis is too big for you in that position.
It is possible that the peeing feelings are a result of g-spot stimulation, but if you don't like it, who cares?