Probably not, no. But then why take a chance with such an important part of your anatomy...?
The rules governing railway operations always err slightly on the side of caution and will tell you not to do something that COULD be risky. Therefore you are told not to direct any jets of water onto the 3rd rail because of the risk that you will cause a short circuit back along the stream of water and through your body to earth.
Peeing on the 3rd rail is a slightly different matter. While your pee initially comes out as a constant stream, the further it travels from your body the more this stream breaks up into droplets. Therefore there will be lots of gaps in your pee that the electricity will have to jump in order to reach you, which means that it is by no means certain that you'll be harmed let alone killed.
However, as I said above, why take the risk? Are you angling for a Darwin Award? Just because it is not certain it doesn't mean that it isn't a risky thing to try and you could do yourself a lot of harm proving the matter one way or the other.
UK train driver