OK..I am at my whits end.

...we got out yorkie about a month ago. He is about 20 weeks now...ok..uh uh 4/5 months old. WELL....I am getting frustrated with his potty training...HE AIN'T GETTING IT!!! I have pee spots all over my bed rooma nd he even PEEED ON MY BED! (when I was sitting in it with him!!!)..We got a 24' play pen to put the pee pee pad on one end and he was using it till he realized he can JUMP OUT! Well we got the next size up at 30'...HE JUMPED OUT!..we got the one that is 3 feet HIGH and he jumped and climbed out!!!! HOW INT HE HECK am i suppose to potty train him when hedoesn't stay in his pen to learn to go on the pad.
With that jumping ability, I think agility is in his future...LOL
We have another dog who is potty trained...as soon as we finish our fence, we will be able to let them both outside..until then we want Chewie to go on the peewee pad...

HELP!! What am I doing wrong???? I am getting really frustrated adn I am scared my fiance will make me get ride of the dog, if he keeps peeing on our bed, bed room, my son's room and even right on the wood floor.
THANK YOU!!!