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You can refuse to disobey an illegal order. The military has a fairly clear list of what constitutes "illegal," like executing unarmed non-combatants. The UCMJ makes allowances for this; it protects you from being court martialed for refusing to obey an order. However, the soldier doesn't get to decide whether the order of illegal; it can't just be something they disagree with, like invading Canada.
I do believe that, if such circumstances came about, a soldier could probably get away with a fairly broad interpretation of "illegal orders." However, this is mostly theoretical.
First, if you thought peer pressure on high school was bad, it's nothing compared to the Army.
Second, it doesn't stop there from being immediate consequences, some of which might very well result in you being dead, many of which would just make your life hell. There are an almost unlimited number of legal orders you could be given that would make your life hell.
Third, it's really predicated on the illegal order being given fairly low down the chain. If the commander of the US forces sends down orders to kill all the orphans in a town, the USMC isn't going to help.
Fourth, the person giving you the order could threaten to kill you, right there, unless you obey. Sure, they might get in trouble later, but that doesn't really help you now, does it? And maybe they won't get in trouble. Maybe they say they gave you some other legal order you disobeyed, and no-one is willing to gainsay them.
But really, your question is whether there's any protection if you disagree with an order, and the answer is "no." There's a narrow set of defined "illegal orders" which you can, theoretically, disobey.
In peacetime, you can decide to become a conscientious objector, and look forward to spending some time in prison. Once you join, you have almost no option for rejecting a legal order, without facing some sort of punishment.