Of course, you can refuse any service you'd like...but there is a reason they perform these check ups, and trust me, it is in your best interest to deal with a few minutes of discomfort to prevent a potentially serious problem such as an infection. You can request a female doctor, if that's the issue.
No one is looking forward to any kind of gynecological examination...but they are a necessary evil, and can go a long way to preventing and catching problems early.