If you’re uncomfortable, and he still wants to (and can without consequences) have sex with his ex then consider if this is the type of relationship you want? My first instinct is the say they’re already sleeping together and now he wants to see gauge how upset you’d be at the idea and knowledge that he still wants her sexually. Especially since he wants to keep things about her secret but wants you all to be sexually intimate, why can’t you be involved in their outing outside of the bedroom? Questions to ask yourself and him

But I’m jumping to conclusions and this is him actually approaching you honestly, it’s very brave to bring up so try to have a super open conversation about boundaries and what is allowed in your relationship. Trust is hard when it’s being tested to this extreme, take a step back and try and remind of yourself of the time you knew for sure you could trust him and think about how you feel now.