I'm so sorry.
It sounds like you don't have kids and for that you should be grateful.
My husband threatened divorce many times for the same reason (his love language is things-done-for and I could never do enough for him, and I mean that is on top of house, kids, cooking, and working, he would add on other stuff and it was never enough).
The horrid thing for me was that he did this after our first child was born so we stayed five years because of it, and now have two kids during our divorce.
My suggestion to you would be first and foremost, see a family counselor. Let him do what he wants--you can't control him, and begging is probably not what he wants, unless he's a psycho, he probably just wants some space. Spend some time with the counselor. At least she can hold your hand when you're crying and she might help you understand better what is going on.
Hopefully you and her can work out whether or not it is really good for you two to be together. I think at this point all you can ask him is to not divorce but just separate if he insists on making it legal.