If he was doing well before the underwear- then he knows what he is doing and the novelty of them peeing through is what is his current currency is- the neat factor. So... what I did with my son is make a traintrack chart (he is into trains) each square was worth .30- the cost of a pullup- so everytime he was dry AND peed or pooped in the potty - I color in another traintrack... and when he earns $7 we go to the store and he picks out a toy. You could shift this to anything... Make a spiderweb spiral for spiderman.... color in the "squares" that are left..
Of course you could spend an hour or whatever with him in the tub letting him pee through different things to see what happens... really let him explore fluids and what happens when they pour through a spatula or a colandar or different fabrics... He would only be able to pee once... but just make it about play, pouring water through fabric or other things... it is just something new he has discovered and his brain has to wrap around it and figure it out. Just explain that when he wants to play with water or experiment he does it in the tub.
I am sure the reward of peeing in the potty will outweigh the novelty of peeing through fabric after awhile.