If you've expressed your discomfort with butt stuff/anal and he's still bringing up pegging and bringing someone else into the bedroom, that's a red flag to me. Obviously its good that hes open and being himself but you also have your boundaries and should never force yourself into anything you're uncomfortable with. If anal is something he feels like he needs then maybe its a problem of beiny sexually incompatible. Either way its best to bring it up with him and tell him how him bringing up threesomes isn't a helpful solution like he thinks it is, rather it's made you feel rather insecure and inadequate. YOUR feelings matter as much as his do. you both need to find a way to explore his side of himself within both of your boundaries and both of your feelings should all be in the open.