Has he been doing this the entire time you've had him? If not, how long has it been going on?
Does he ever use the litter box?
What does he pee on instead?
What sort of tests have you had the vet do to rule out a medical issue?
It sounds like you've tried a lot of different things with the litter. What kind of litters have you tried? Just clay, clumping, non clumping, wheat or corn based, etc... covered box, open box, putting it in different locations...?
What other things have you tried?
How is his temperament otherwise? friendly, high strung/stressed..?