Some of you need to read the OP again. She did not ask him to stop. She said she doesn't want to know about it, is uncomfortable with it, and prefers him not to do it. There's a big difference. She had the opportunity to say she could not and would not be married to a crossdressing husband, but she didn't. Apparently, she values the marriage, as he does.
It's easy to tell him to stop when you don't have to because you have an accepting wife. Stop, really? You go first. You know you can't.
It's not his fault he likes to crossdress, and it's not her fault it creeps her out.
So, be the man she married, and when you crossdress, keep it out of her life.
To some people, a divorce without secrets is better than a marriage with.
I'm not so sure. But in this case, it's not a secret. She knows, so it's no secret. She doesn't want to know about it.