First of all, let’s mention that it is not possible to get a parasite by peeing in the ocean or in any other water plant. However, it is a common belief that has been propagated by the Internet and some alarmist television shows.
The root of this belief actually comes from a 150-years old legend told by Native people of the Amazon River region in South America. It has been hypothesise that this story was told in order to frightened tourists. However, it is common that Native people put something on their penis before bathing in the Amazon River in order to prevent being affected. The myth says that the candiru is able to enter the urethra, the tube that brings the urine from the bladder to the outside of the body, when someone pees while bathing in the Amazonian waters. Candirus are effectively found only in the waters of the Amazon River. However, the candiru is not a parasite following the strict definition of the term, but rather a type of small transparent bloodsucking catfish ranging typically from 3 to 5 centimeters. Without being a parasite, it seems that this small fish is able to parasitize a host. It is important here to distinguish between parasites and other organisms that are able of parasitism.
It is alleged that the urea present in the urine attracts the fish. The candiru will then parasitize the urethra and devour it from the inside leading to agonising pains. This hypothesis was later refuted by the scientific proof that candirus are not usually attracted by the smell of urine, but are more dependent on their vision. It has been the story of many sensational web sites and television shows over the years. Such stories usually states candiru that enters in the penis, but stories of candirus parasitizing vagina had also been told. However, this myth is not based on any solid scientific proof. Furthermore, the fact that the fish is able to enter the urethra when the person is peeing contradicts the laws of the physics of fluid and is then considered as impossible. Finally, only one report of this type of situation is documented in the scientific literature. The alleged case occurs in Brazil in 1997 and supposedly required an extensive surgical procedure in order to remove the fish from the urethra. However, there were many discrepancies in the testimonies of the victim and the surgeon who allegedly removed the fish. As such, this sole report is controversial and not fully accepted by the scientific community. Between you and me, if this kind of story was true, many case reports will be available so far in the scientific literature.
Finally, if we come back to real parasites, it is interesting to note that the protozoan parasite Trichomonas vaginalis is the only known sexually transmitted parasite. It causes the disease trichomoniasis that is quite common in developed countries. Even though it is not related to the urine stream, it is possible for this parasite to infect the urethra during sexual intercourse. According to the actual scientific knowledge, it is the only known parasite so far able to enter the body by the urethra.
Sources: Centers for Disease Control and Prevention; Bauer, I. L. (2013). Candiru—A Little Fish With Bad Habits: Need Travel Health Professionals Worry? A Review. Journal of travel medicine, 20(2), 119-124.