No, hedgehogs don’t seem to lift their legs when peeing – they tend to squat down a bit, but it can be so quick that it is sometimes hardly noticeable. i have, though, seen a female hog lifting her spines when she was seemingly peeing – although not really sure why she did that.
But they do lift up their back legs, most often to scratch. They are able to reach an extraordinarily long way up their bodies with their legs and when they scratch it shows how surprisingly long their legs really are. But when scratching lower down, it could look similar to lifting a leg to pee.