Im sorry..... but that is funny.
i would think his little bladder is just too small .
Pressure from being lifted pushes on it and causes him to pee.
stop lifting him.
just walk him straight to the door.
If he stops to squat, do what ever punishment you do and get him out faster.
Not being cruel, or doing it in a cruel way, but putting him down , on leash and racing to get him outside faster so that he does not have TIME to squat may work, even if it requires a tad bit of dragging..