mommyof2angels is right, you don't owe him the threesome.
She is also right in saying that ground rules should be laid out beforehand.
About the pregnancy, I say double up on the contraceptives, as well as pulling out before his orgasm, if that makes you feel better.
As for the jealousy, keenly observe where it is comming from. If it is not from any major red flags, Use the slight twinges of jealousy to fuel the fire of the momment and make it even hotter. Many guys can do this while watching their wife with another man. Sometimes it is a major thrill to flirt with the idea that she is enjoying sex more with the other guy, and then to appreciate that you were able to witness it, and it was not done behind your back. This may not even be the case, but it can fuel the fire.