Okay, first of all anal sex is gross and unhealthy. My opinion, and this is just my opinion, is that if a guy wants to stick his penis in a butt then then he can get himself a boyfriend. Some girls/guys are really into that, but if anyone even asked me to do it, I would hurt them. I only date people who agree that it is disgusting.
Same goes for the whole threesome thing! Urgh! I mean, if you are a single guy and you run into to whores who want to have a threesome then go for it! But if you love someone then you don't want to have anyone but them. If you do, then it is not real love. So many people nowadays just go with the whole threesome thing because it is becoming the "norm" but I am sorry, I don't think so! We got rid of polygamy for a reason people, having multiple partners at the same time is no better than having multiple wives! All this kind of crap is doing is trying to push us women back even more. Women need to stop doing these things to "please their man" and start doing things to please themselves. It makes me so darn mad!
And no, not every man fantasises about having two girls at the same time! I know a couple personally who don't! And I also know some who say that they do when there guy friends are around and talking crap, but you can tell that they really don't.
Bottom line, you obviously don't want to do it, so don't. And you really need to leave him. I know that sounds harsh, but if he loved you then he wouldn't even be suggesting this crap.