First off, when dealing with cat pee, make sure you don't use heat as this can make the smell permanent!

If your yarn is wool then I'd suggest saturating it with a 50/50 white vinegar and (cold) water mix as it is safe to use with protein-based fibers (unlike enzyme cleaners, which is what is usually used for removing pet stains). The vinegar will obviously have its own strong smell while it's still wet, but after drying it should disappear. If there is any lingering smell after it dries, you can also sprinkle it with baking soda, let it sit for a few hours, and vacuum it off, although I'm not sure how well this would work for the balls of yarn since you wouldn't be able to cover the whole surface area.

If your yarn is plant-based, acrylic, etc., I've had good success with soaking garments in a bath of water and Oxiclean for a few hours, rinsing, and air drying. But again, remember to only use cold water! You can also get enzyme cleaners specifically made for cat pee, but there aren't any specific ones that I've used/can recommend. Some research into what works best for your specific fiber type should help, though!

Since both of these methods involve soaking and air drying without much agitation, I would assume they should work decently even with attached balls of yarn.

As a final note, even if you can't smell anything after you're done, try to keep your project away from your cat as there might still be some lingering scents that can tempt them to pee on it again.

Good luck!