Musannaf Ibn Abi Shayba 28:128

Waki’ narrated to us, he said: Sufyan narrated to us, from Musa ibn Abi ‘Aisha, he said: I asked Murrah ibn Sharahil al-Hamdani and Sa’id ibn Jubayr about a Magian (Zoroastrian) slave woman whom a man acquires: "May he have intercourse with her?" They said: "He shall not have intercourse with her until she accepts Islam." And Sa’id ibn Jubayr said: "If he returns to her (for intercourse before she accepts Islam), then he is worse than her."