Sexuality isn't about a physical act (like pegging). It's about attraction and sexual desire to people. Him wanting to experience the sensation of a partner coming inside him isn't about whether he's gay or not, unless he decides he wants a man to do it. That he's opened up to you about it means it's likely more about curiosity, kinks, and/or sexual pleasure.
If you're not comfortable doing it, of course, you get to set your limits and boundaries. Just make sure that you're not rejecting the idea out of a misplaced idea of what a sex act may or may not mean about sexuality.
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