To avoid repetition I will address only the relative prohibition of Jews and non-Jews, not the nature of the prohibition of non-Jews discussed fairly extensively in the linked page.
- At face value the prohibition of a Jewish nidda indeed seems much more severe.
- However, R. Yaakov Kamenetzky famously held that it was preferable to maintain a relationship with a Jewish nidda in light of Rambam's statement about sexual relationships with non-Jews. He writes in ch. 12 of Isuurei Biah:
עוון זה--אף על פי שאין בו מיתת בית דין, אל יהי קל בעיניך; אלא יש בו הפסד, שאין בכל העריות כמותו: שהבן מן הערווה, בנו הוא לכל דבר; ובכלל ישראל ייחשב, ואף על פי שהוא ממזר. והבן מן הגויה, אינו בנו--שנאמר "כי יסיר את בנך מאחריי" (דברים ז,ד), מסיר אותו מלהיות אחרי ה'. [ח] ודבר זה גורם להידבק בגויים, שהבדילנו הקדוש ברוך הוא מהם, ולשוב מאחרי ה', ולמעול בו.
That is, the prohibition shouldnt be taken lightly as unlike other forbidden relations this draws products of this union away from God.
As such R. Kamanetzky held that a relationship with a Jew is preferable.
It should be noted that his reasoning might only apply to a long term relationship.
An additional concern would be that although technically more severe, the relationship with a Jew is easily rectifiable as she can just go to a mikveh. Even if she (or both) are unobservant they can transition gradually to observance. The relationship to a non-Jew however, itself places a major impediment in the way of tshuva.