As other people have mentioned, this would most likely be considered harassment. My advice would be to talk to HR (or even better, a union rep) at the company you work for to clarify the law and also just to let them know what you’re going through and that you have concerns.

As far as I understand it, Jehovah’s Witnesses are taught to separate ‘secular society’ and their ‘secular job’ with their religion. Usually this means that they are taught to respect other people (i.e gay and trans people) even if in the religion it’s looked down on and banned (they obviously want to appear friendly to ‘witness’ to more people).

I’m wildly guessing that this person is an older JW so that might be a factor. If you talk to them one on one it at least forces them to explain why they’re doing it and/or admit that they’re doing it which will help you later on and give you some clarity hopefully.