I think that the best thing would be to talk openly about how your feeling and you have to draw the line somewhere. if your ok with him sleeping with the other woman but not in the next room, tell him! I have noticed that alot of men dont clue into things unless you lay it out for them. tell him that your a little insecure when the 3 of you are together but you cant take hearing them have sex in the next room.
lots of love <3