You might point out to him, though, that it's not kind to keep leading the OW on - the longer this continues, the more expectations she will have. Perhaps if you couched it in those terms of being kinder to break up with her now, he would see it.
Some OW are incredibly manipulative; others were suckered in by stories of how the marriage was "already over" etc.
But as long as you stick to the high road and keep showing him the strong independent faithful person you are, the better you look in comparison.
