"Christianity tells me that I must not deny my religion even to save myself from death by torture"

Lewis may have been thinking of a portion of Hebrews 11 here, which refers to past "heroes of the faith."

Some were tortured, refusing to accept release, so that they might rise again to a better life. Others suffered mocking and flogging, and even chains and imprisonment.They were stoned, they were sawn in two, they were killed with the sword. They went about in skins of sheep and goats, destitute, afflicted, mistreated—of whom the world was not worthy—wandering about in deserts and mountains, and in dens and caves of the earth. (verses 35-38, ESV)