Watch out for mirrors. If they're watching in a mirror just tell them you have a shy bladder.
Tell them more than that - much more. It is against DHHS regulations to utilize any type of voyuer devices (cameras, mirrors, etc) for an observed collection. If an observed collection is warranted (due to insufficent temperature or other signs of tampering), DHHS regulations require that a live observer (of the same gender as the donor) to be inside the bath stall with the donor and directly watch the flow of urine exit the body and into the sample cup.

From the DHHS regulations


The procedure for a direct observed collection is the same as that for a routine collection except an observer watches the donor urinate into the collection container. At the point in a routine collection where the donor enters the restroom with the collection container (see Section C, Step 10), a direct observed collection includes the following additional steps:

• The observer must be the same gender as the donor. There are no exceptions to this requirement. The individual serving as the direct observer enters the restroom with the donor.

• The observer must directly watch the urine go from the donor’s body into the collection container. The use of mirrors or video cameras is not permitted.


Source: http://www.workplace.samhsa.gov/Drug...n_Handbook.pdf
So if you happen to spot any type of voyuer device, report the facility to the DHHS agency and let the States Attorneys Office in on it as well.