I did a little more research and UV transmission is an entirely mixed bag. Acrylic as stated blocks most UV light, and the % of UV light absorbed by plastics such as polyethylene depends on the thickness, the coating, and the purity of the plastic. It DOES absorb and refract some UV light, the question is, how much? From what was linked earlier, the UV doesn't even need to penetrate - the water just needs to heat up. Also, which wavelengths are blocked best? The SteriPen folk believe that UV-C doesn't escape the container.

(edit) I really wish I hadn't graduated now, since I used a transmittance/absorbance machine almost every day in the lab and I could quickly and easily measure all of this data. Anyone else work in a lab?

(double edit now) You might have misunderstood me with the SteriPen - The Pen says you won't burn your skin or eyes from UV rays because the rays stop at the limit of the water bottle, not at any part of the Pen itself. The concern is that by staring at the lamp, while it's operating, you're giving yourself a NASTY UV burn. If plastic transmitted UV entirely, this is a problem. It either means that the plastic doesn't transmit the Pen's UV, or that the Pen's UV is just too low power to burn you.