It could potentially be ok as long as boundaries are kept and the relationship with him is put in the context of being a frum Jew who prioritizes Torah and your relationship with Hashem above all else, and the goy is clear about this.
If you are shaky in your frumkeit and/ or very vulnerable emotionally then that is not a safe relationship to be in. First and foremost have a kesher with a Rov whom you connect with and run it by the Rov….