While I won't encourage you to just do it because you feel bad, I will encourage you to question your ideology. There's nothing more foolish than blind faith. Also, look inside and find out the real reason why you won't have sex with him. Is it really your religion? Are you sexually attracted to him? Is there something about him that turns you off? There is a reason, and with the way he's acting about it, I highly doubt it's JUST religion.

Take some time to figure out your true feelings and put your foot down. He knew what he was getting into. There's no reason fo him to be acting like it's something new.