Bunnies tend to like to pee on soft things, beds included.
You could stop allowing the bun on the bed, or you could put a litter box on the bed and let the bun go in the box. THEN after the bun gets used to the litter box, you could try to move it over a few inches at a time and let him get used to it there. Then after a few days move it a few more inches. Then try to put it in a spot that you're comfortable with. Moving it slowly over some time might work. I've never actually done that with a rabbit, but my vet recommended it for a cat.
You'll also want to clean your bed with white vinegar or Natures Miracle or Pure Ayre to get the smell of pee out of your bed. So the bun won't be tempted to pee on it more.
I would just not the let the bun on the bed until its completely litter trained and spayed/neutered. That would solve the peeing on the bed thing. But if you want to put the bun on the bed, maybe get a puppy pee pee pad and put it where the bun likes to go potty. Then a litter box. But putting something down would protect your bed from the mess.