You should think about something you wouldn't mind him addressing you as and tell him about your discomfort during your next session. Therapy should be a way to help ease some of the feelings brought on by transition, not create new problems. I just asked my therapist to call me by the nickname I used to go by in high school, even though it's feminine and she knew it didn't match the name I plan on taking later on. I hope everything works out for you!