I don't think I could pee with an audience either.
My cat seems to have a problem. I never noticed this problem until recently. We moved his litter box in my bathroom and since then he has become shy. There are times when he will go in there when I am in there, stand next to and look at the litter box, look at me, then leave. Today this happened after I got out of the shower and I decided to try something. He walked up to it and looked at me, I turned the light off and stood in there, and he peed. I guess he really doesn’t like an audience.