The final defiant arrogant thing he could do in the circumstances. If by some quirk of fate if Eva had survived who knows what her treatment would have been, in the eyes of the world and captors she would be just another floozy collaborator who fratenized with a Nazi dictator some one to be subjected to severe cross-examination and ridicule. I expect they did discuss various outcomes, whatever the reason, logic doesn't enter into the mind of a fanatic.