In terms of what an appropriate sacrifice is, I suppose there's a pretty wide spectrum. At the extreme, he could've publicly resigned and refused to have any part in something so unethical. On the lighter end, he could've penned an op/ed stating that it's a terrible practice but that he's going to stay and do his part to make it as comfortable as possible for the condemned, while calling on lawmakers to end the practice. I'm not prescriptive about how exactly people should react when their ethics are challenged, but I think it's reasonable to ask them to wander in the direction of their moral compass even when their job points the other way.[2]
[1] http://www.people-press.org/2015/04/16/less-support-for-deat...
[2] Obviously, some people would be hurting for work if they lost their job, and cannot afford to take big risks or piss off their bosses. But that doesn't apply to prison wardens, and if anything, the imperative of a prison warden to have solid ethics is much higher than that of a typical worker.