Steve-O Storms Out of Interview ... I Don't Wanna Talk About Sandra Bullock Sex Link

1/8/2016 10:06 AM PST

Steve-O has a direct DNA link with Sandra Bullock through his new gf -- but he's not celebrating -- in fact, he walked out on a radio interview because of it.

The "Jackass" star was on "The Wease Show" on 95.1 in Rochester, NY Friday morning when the host brought up his connection to Sandy B. Steve-O is currently with Kat Von D -- who at one point dated Jesse James -- who was married to Sandra, so a link is present.

Steve-O wasn't having it and after a dose of host nagging, he walked out on the interview. 

He's not joking ... he's pissed.