"This adult male is allowed to see your underage daughter naked in a public shower facility because he says he's a woman - and if we don't let him he says he'll kill himself."
Say it out loud. Twice. Then consider that THIS is where we're at currently in Western society in 2020.
Up to him if he kills himself. That type of blackmail attempt is beneath contempt. I wouldn't dream of trying to stop him: he has a right to his decision.