If I tell my boss that doing xyz is illegal and he doesn't dispute it, I'm absolutely certain he would not ask me to implement it.

Certainly there will be shittier bosses that will ask anyway, demand it, and perhaps even go so far as to fire someone for not violating the law, but I should hope those in the last category are few and far between and there would be internal and/or external outcry over it. Even if you have a boss that wants to fire you over it and nobody cares internally or externally (I'd find this situation very unlikely), you'd still get unemployment benefits / severance / whatever is typical in your jurisdiction, since you were fired rather than choosing to leave yourself.