Looks like a typical urban legend where someone took a few facts and ran in the wrong direction.
From the link below:
Quote:Plaintiff's decedent, Sang Yeul Lee (Lee), a 46-year-old Korean immigrant who was unable to read English, attended a party on the evening of October 21, 1977. On his way home, Lee entered a CTA right-of-way at the intersection of Kedzie Avenue and the Ravenswood railway line in Chicago, apparently, in order to urinate. The right-of-way was posted with signs, placed on a utility shed and on sawhorses at each side of the tracks, warning "Danger," "Keep Out," and "Electric Current." Parallel to the tracks and approximately 6 1/2 feet from the sidewalk lay a street-level third rail.
It doesn't say he urinated on the rail. It says he walked onto the right of way at a grade crossing where there was an energized 600-volt rail... to urinate.
link to: Torts - Supplemental Material, Chicago-Kent College of Law