I think that for finite groups of Lie type, the analogue of "having a Whittaker model" is that the representation occurs in a Gelfand-Graev representation: these are the representations obtained by inducing a "regular" character from the unipotent subgroup of a rational Borel. Such representations are multiplicity free and so constitute a "model" (in the sense I think people say "Whittaker model"). Now when the center of $G$ is connected, all regular characters are conjugate under the action of the maximal torus of the Borel, so the Gelfand-Graev representation is unique (otherwise there is a family of such representations). In their famous paper, Deligne and Lusztig show decompose the Gelfand-Graev representation in this case and show that there is exactly one constituent in each "geometric conjugacy class" of irreducible representations (which can be thought of as a semisimple conjugacy class in the dual group). The Steinberg representation is then the representative in the conjugacy class of the identity element -- that is the representative among the "unipotent representations".
To focus more on the actual question (!) the character of the Steinberg representation is explicitly known, and it is easy to check from this that it's its restriction to $U$ is the regular representation, so it certainly occurs in the Gelfand-Graev representation.
I think that for finite groups of Lie type, the analogue of "having a Whittaker model" is that the representation occurs in a Gelfand-Graev representation: these are the representations obtained by inducing a "regular" character from the unipotent subgroup of a rational Borel. Such representations are multiplicity free and so constitute a "model" (in the sense I think people say "Whittaker model"). Now when the center of $G$ is connected, all regular characters are conjugate under the action of the maximal torus of the Borel, so the Gelfand-Graev representation is unique (otherwise there is a family of such representations). In their famous paper, Deligne and Lusztig show decompose the Gelfand-Graev representation in this case and show that there is exactly one constituent in each "geometric conjugacy class" of irreducible representations (which can be thought of as a semisimple conjugacy class in the dual group). The Steinberg representation is then the representative in the conjugacy class of the identity element -- that is the representative among the "unipotent representations".
To focus more on the actual question (!) the character of the Steinberg representation is explicitly known, and it is easy to check from this that it's restriction to $U$ is the regular representation, so it certainly occurs in the Gelfand-Graev representation.