I know that many LDSs are feeling the pinch, but empty threats and crap like that are going to make them feel it more. If you care enough still, calmly and rationally tell the shop owner that you've bought your training from him, and you've chosen to make equipment purchases from various sources. When he entered into a contract with you to teach you to dive, if he didn't clearly state that all equipment must be bought from him for the consideration of a reduced tuition fee for the course, well, then he needs to uphold the contract at the price you had agreed upon.
If a diver shows up at my boat wearing split fins and a spare air, I can't arbitrarily raise my fee for passage just because I decide that divers in split fins or using spare airs aren't as good as divers wearing Halcyon gear and diving DIR rig.
If your LDS owner becomes stubborn and mule headed, thank him for his time, and let him know exactly how you would like your tuition refunded. Be sure to tell him that you intend to become a diver, and that you'll live in his area for the next ___ years in the future. You're sorry you won't be welcome in his shop anymore, because you're sure you would enjoy taking advantage of all of the things his shop has to offer, including air fills, travel, and future last minute equipment needs just before you join him at the quarry for a BBQ weekend that he has planned to thank all of his students for keeping his shop alive in these hard economic times.
Man. You've bought gear and you're taking lessons. That LDS owner is a fool. Most of the work has already been done.