Why do wolves urinate in their water?

Your question makes an assumption: Specifically, that wolves urinate in their water. However, that assumption isn't necessarily true if we're considering deliberate urination. Also, what is meant by the term "their" water? As opposed to another wolf's water? Do you mean water in a dish as opposed to running in an outdoor stream? Are these domesticated or wild wolves? Male or female?

Wild wolves do not intentionally contaminate their water supplies with urine. Since wolves are not fearful of standing or moving water, and will enter bodies of water without hesitation (in pursuit of prey, or simply for playful purposes), it is not going to be uncommon to see wolves in and around water. Females, when during estrus, will shed blood and other fluids into water, and alpha males will leg-hike urinate to mark territory and dominance at almost anytime and at any place - even while in and around water (although the effectiveness of marking running water is questionable, we can assume that the male wolf's aim isn't all that deliberate all of the time, or necessarily accurate, either).

Captive wolves (and other lupus animals, like coyotes and dogs, both wild and domesticated), will sometimes urinate in their water bowls or watering troughs. Again, this is likely due to marking and dominance display, but the additional factor of stress also comes into play due to the captivity situation.