Mike's answer is spot on, if one allows for the fact that to speak of the liquid and the tubules that produce it as being like vertebrate kidneys, though functionally correct, might give the impression that they are homologous. For practical purposes it is correct of course, much as we can speak of insects as having legs and jaws, even though they are not homologous with our limbs and mouthparts.
He has correctly described the process of excretion, and I just would like to add that whether the mixed output is pee or not is much like the question of whether bird droppings are pee or not. It all goes out the same way. Insects that live on water-rich food, such as nectar or plant sap are likely to produce liquid gut contents as well as liquid wastes from the Malpighian tubules, so that their excretion is a squirt of droplets. Some bees, moths, flies, and bugs do that. The honeydew of aphids and scale insects is an example. The plant sap they feed on contains such a high proportion of water and sugars that the insects need a special gut by-pass to get rid of the unwanted materials undigested. It is called the filter chamber, and in the most specialised cases it offers no open passage whatsoever; everything that passes out has literally passed through the wall of a cul-de-sac!
That is not true for bees of course. Their food is far more concentrated and they are far more active than plant suckers.
So, yes, in a way most bees do pee, though only in a mix with the rest of their wastes. Note that I do not promise that no bee produces solid wastes; the variety of life styles is too great for me to be sure.
