I am pretty sure the only tests that can be supervised are for court/government/military things. You cannot be supervised for a job. I applied to a company in a related field and was able to easily substitute my urine. I was given a cup and walked into a bathroom where I closed the door, subbed, and then gave the cup back.

They most likely won't supervise. If they do, tell them you are not comfortable with it and if they still refuse ask them if it is legal for them to do it. I am quite sure it isn't.