No, I am not embarrassed by it... not as much as I was when I was a JW... *grin*
I have told my closest friends that I used to be a JW - and some of their folly that they believe.
I have also said, "If you want to get rid of a JW 'doorknocker' quickly, just tell 'em you're an Apostate or Disfellowshipped. That'll send 'em runnin'."
Most of the time we all laugh about it and move on.
The waitress gal at the local restaurant we frequent is a Mormon-driftee... and we have discussed that and laughed at that, too.
It's definitely nothing to be embarrassed by... it happens with any religion - or situation.
If this fella is ribbing you about it - perhaps he knows it bothers you (or is hoping it does)... and that is the reason he keeps it up.
Make a loud joke out of it - without making the JWs look too badly (most are just misled - and are not evil), and move on.
He'll soon grow tired of trying to poke fun at you.
Regards,
Jim TX