Some hamsters just... Pee on their wheel!
Trust me, it isn't rare. I personally have never have the problem with my ham peeing on their wheel, but she pooped on her wheel a lot. I ended up washing it every 4-5 days or so. You could try litter training or adding a sand bath as an alternative place to pee, but some hamsters just pee on their wheel and don't stop. I'd recommend washing it every 3-4 days (adjust this to what you think would be best) to keep it from getting super stinky and gross. Best wishes!