Because of the (mostly) wrong pictures in the www people believe that pygmy hedgehogs needed to be bathed in water. But they don't! It is totally stressful for them.
African pygmy hedgehogs clean themselves in sand (most common chinchilla sand). They only needed to be bathed if your vet told you so (medical causes).
It is such fun watching the hedgehogs bath themselves in sand and it is a natural need.
Give your hedgies what they need!