My 2 month old also often won't pee while I'm holding him. I lay him down again, talk to him for 10-20 sec, tell him he's going to pee in the toilet, wipe his bottom if it's poopy...basically just letting him relax with his diaper off. Laying down puts pressure on the bladder so it helps them feel the urge to go. Then I pick him up and cue him again and he will often go in the toilet.
The interesting thing is, if I try to put his diaper back on and he still needs to pee, he tells me loud and clear (by screaming).
Before we got to this stage I would make sure to leave his diaper off a couple of minutes after every change and throw a cloth over his penis just in case. Then if he would pee on the cloth I woudl still have a dirty cloth but wouldn't have to change him again.
Of course we also have our changing table accidents and diapers which don't stay dry very long. It's a learning curve. :)