This is not a thing with police officers, just more troubling, because we have higher expectations of them than we do of the rest of the world... and of course, more troubling because of things they can do like convince you that they are so knowledgeable & powerful that you should not dare to defy them.
Believe me, the shelters in the area, having heard your story of this threat, would double up on security & he'd be more worried about losing his job than finding you & harassing you some more. But you, more than most, need a safety plan, for just this reason. Please contact a local shelter & ask them for help in figuring out how to get out safely if you get to the point where you can't take it any more.
You will want to plan for how to take care of your son, whether or not you need clothing, how to handle getting to & from your work (how to GET work so you can support yourself if you don't work already). If he does not prohibit you from working, go find a job right now! They'll help you figure out how to find a safe place to say & how to keep from getting on the wrong side of a credit card that gets closed or bank account that gets wiped out.
Once you have a plan, worked out with a shelter, you'll feel a whole lot better about whether or not you can & should stay with him, or whether you wnat to leave.