Infidelity Support Group
Any relationship in which one partner engages willfully in sexual relations with another outside of the partnership is considered to have experienced infidelity. This breach of trust is often traumatizing for the faithful partner as well as the relationship, and support is often needed to heal emotionally and to decide whether or not the relationship should continue after...

This sounds like a lot of trouble. I would run the other way. End it. Block his number. If you hear from the other woman, go to the police and get a restraining order against her. Maybe get a restraining order against him, too, while you're at it. He doesn't seem to care about you or your safety. He is still seeing this other woman, so let them go be together. You will find someone who is all yours and who you like better.
This guy isn't worth all of this hassle!