Uh, nope. Cant say i ever shiver whilst having a pee...
If its not normal for you, you may have a urinary track infection or an infected urethra, and the pee is making the infected area feel as if its burning, causing a shivering....
If it keeps happening go see a doctor.
[edit]
Im not a medical expert, i just have standard grade (gcse) biology, and my knowledge of how a bladder works...