Ask to watch them pee. When they say no, ask what they do when they pee that they don't want you to know about; that is the only reason they could want privacy, right?
That's not going to work. There's no real data privacy breach there, and they'll know that intuitively. People regularly and plainly excuse themselves to the bathroom. Nobody wants to be watched, but everyone knows what's happening in there.
For someone who "does nothing wrong", they need to be shown that "wrong" is subjective. Everyone knows you pee, but Amazon might fire you over it, so it becomes sensitive information in that context.