What should a person do if a jinn advises them to follow righteousness and prayer, but threatens to kill them and their family if they do not commit a sin?

What you claim about the jinn having power over you and threatening you is not an excuse for committing sins. The jinn cannot cause harm except by Allah's permission, and they are weak against those who seek Allah's help and frequently remember Him. Jinn gain power over a person if that person gives them access to themselves and willingly enters under their authority. Whoever seeks Allah's help, relies on Him, and frequently remembers Him, the jinn have no power over them, as Allah Almighty said: "Indeed, he has no authority over those who have believed and rely upon their Lord." To be rid of Satan's cunning, it is recommended to recite Ayatul Kursi with sincerity, and to seek refuge with Allah from the devils, and to seek refuge with the lawful incantations. If the devils come to the prophets to harm them, Allah repels them through supplication, remembrance, worship, and struggle. So, whoever follows the prophets, Allah grants them victory, and whoever innovates a religion, the devils toy with them. Therefore, fear Allah, stop speaking to that devil, and seek help against him with lawful ruqyah (definition) and incantations.