He said he wanted me to be his friend still and we were with the sex still and hanging out, like we were a couple still. When I called him out on this and asked whether we were dating or not he said no we are still just friends and he needs to get his life back on track and do right in his religion, so in short he picked the religion over me.
Welcome! I'm sorry your reason for coming here was is so painful. Like James Woods said, this happens much too often.
He wasn't just picking the religion over you, he was using you. He was playing the good JW at the Kingdom Hall while breaking every rule he can get away with. He wants all the "benefits", but he isn't interested in being a genuine friend (friends are honest). I'm sorry to have to say this so harshly, but you deserve somebody who will treat you with respect and honesty, while he deserves somebody who will do unto him as he does unto others. Walking away is probably the best thing to do.