It depends which country you're working in. If the culture of the country is to separate men and women, I would say it's easiest to go along with it and allow the man to work with another man.
If you're not working in that type of culture, tell the man you expect him to work with all students in the class.
You also need to consider the feelings of the woman he is working with. You need to take care that she doesn't feel uncomfortable.