Not 100% sure on this...
But I think.. The depo releases a hormone that tells your body not too ovulate, and dosent release so much of the watzit hormone that tells you if u are pregnant or not in a urine test.
Either that or it would tell you your pregnant everytime, because not ovulating, your body could think your pregnant.
So urine tests arnt very sure things when your on the depo, even when your on the pill.
Could be completly wrong, but thats about what I got from my doctor, with a bit of what I think thrown in there aswell.