Are you saying he is suicidal?
Could let go and point him to appropriate care. Could call 911 to report him, his therapist, his wife. In the U.S., call 1-800-273-8255. If he is at that place he needs pro care and YOU are not pro care. Do not get in the way of the patient getting the health care he needs from sentimental feelings. Care is care. Sort the feelings LATER. This is a life at risk if he is in that place and needs to be on suicide watch for his best healths.
Are you saying he is having you hold his rope and making it hard to leave?
Could warn him you are letting go of the rope... and then let go of the rope.
If he is not willing to experience yucky feelings and using you for a shield? That's him not willing to deal with life as it comes. That's not a good enough reason to stay in a thing that is not joyous for you.
Problem is he's told me his life is over if he loses me and that he does not think he can get through this time. Your "Shooting the horse" analogy may not be an analogy In this case.
What do you mean? Could you clarify? Horse is horse to me. I cannot see the difference here. White, brown, black horse... all horse. None of it is gonna be FUN. The horse could need to be put down to end suffering. Shoot, drop rope, whatever the method that suits the situation best. If the overall need is for a "dead horse outcome" the method doesn't really matter. It just needs to end.
Could apply merciful release one way or the other so all can unsuffer. Before you get to that place, you could need time to prepare to deal in horse and agther your strength together. So... could prepare then. Steel yourself to do the job in front of you. Even the sucky jobs.
I'm sorry this is happening.