Theres no room for anyone else but my OH when he's in the bath..lol. But seriously I can imagine your daughter will soon want bathtimes to herself soon anyway. Personally I dont see a problem with it so long as they are both comfortable with it still. Besides, as she's getting bigger he may not be so happy with the idea if she accidentally elbows or stands on his tender bits.
Maybe he's just having trouble acknowledging his little girl has to grow up and wants to spend as many of those precious moments with her as he can while she's young. Hell, my FIL is a bit odd still and though he's never actually bathed with the children, he still thinks (at 14 and 11) that they should only bath in an inch of water with the door open ajar so they dont drown and can be checked upon. He gets offended when they want their privacy too, but then his only offspring was a boy. It's apparent to me he just has difficulty in letting go.
Unfortunately, as others have touched upon though, should your daughter innocently mention bathtimes at school, other adults may view things differently and you quite likely will end up with at the very least probing questions at school and funny looks at the school gate, or at the very worst subject to a social services review. Its a sad state of society where people think the absolute worst and are quick to point fingers due to their own prudish views but unfortunately those people exist. Maybe if your OH gets upset about losing out on bathtimes with LO you could remind him of that. If he's upset now, believe me he'll be absolutely beside himself if the SS come banging on the door.
Hope you find a resolution swiftly. All the best. x