I would argue that you have a moral and ethical responsibility to say no when your manager asks you to do something illegal, even if it does cost you your job. The law is the law, and there is no excuse for breaking it. Your manager is certainly culpable, but if you act against the law, you are culpable as well.
The exception is if you fear literal physical violence against you or others, or are being blackmailed or something, then of course you are being coerced and have no choice. But "losing your job" does not rise to that kind of coercion, in my opinion.
Not saying it's easy, it's a horrible situation to be put in and I have huge amounts of sympathy for a person who has to experience this. No one is perfect and act with faultless ethics at all times. But hard or not, it is your duty as a citizen not to violate the law.
The exception is if you fear literal physical violence against you or others, or are being blackmailed or something, then of course you are being coerced and have no choice. But "losing your job" does not rise to that kind of coercion, in my opinion.
Not saying it's easy, it's a horrible situation to be put in and I have huge amounts of sympathy for a person who has to experience this. No one is perfect and act with faultless ethics at all times. But hard or not, it is your duty as a citizen not to violate the law.