New DM needs help with character with a confusing backstory

I would ask why he doesn't want to be chosen by the Raven Queen. Why is it that he dislikes it?

My first thought is that he doesn't like death or something or basically the kind of work he is asked to do for her. Maybe if he's kind of a bloodthirsty guy (since he was a gladiator) maybe he enjoys the fighting and sending people to their death in battle, but he doesn't like being some gloomy custodian of death. "I want to crush my enemies and bask in the glory of victory! Not hold their hand into the afterlife!"

Or, if maybe he fought as a gladiator against his will, and is the kind of guy who fights and kills because he feels he has to and it's his most effective tool for solving problems, but he actually hates killing people and feels he's had enough death for a lifetime.

Or maybe he just doesn't like gods in general, and doesn't want to be a tool for them.

Anyway, it sounds like you and your player should work out what exactly it is that the Raven Queen does and why he wouldn't want to be chosen by her.

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