Asylum & Spouse EEA

I am a 37 year old man from the Caribbean, an ex-commonwealth country.
As a bisexual man, I am currently seeking asylum in the UK on the basis of my sexuality as homosexuality is illegal in my country.
I originally on a visitor's visa at the end of 2015, which had expired a few days before making my asylum claim. Although my application is in, I am liable to be detained.
I am awaiting my hearing interview right now.

Earlier this year I formed a romantic relationship with a Finnish woman, who has been living in the UK for almost 15 years. As of recent, marriage has become part of our conversation. I was wondering if we choose to explore the possibility of marriage, what should our procedure be, and what is the best way to approach it?

-Should I cancel my Asylum request and proceed with a EEA Spouse Residence Card or Visa?
-Should I only cancel my Asylum request after I get married?
-If I do cancel my asylum request, would I be automatically detained?
-Would we be able to get married in the UK, or should we travel to Finland and get married if we so choose?
-If I wanted to go to Finland, how do I seek to get my passport back from the home office?
-After marriage would I be able to return to the UK?

I am very confused on how to proceed, any information given would be appreciated.

Does she have British citizenship as well?

member wrote:Does she have British citizenship as well?

No she doesn't. Because of EU laws at the time, she figured it unnecessary.

Considering the reason given for the Asylum claim was the illegality of homosexuality in your home country, a marriage to a female EEA national is likely to be considered as a sham and the application for a RC refused.
If you withdraw your asylum claim you won't be able to 'proceed with a EEA Spouse Residence Card or Visa' as you don't qualify as a spouse or unmarried partner.
In order to marry in the UK as a foreign national you will have to register with a Home Office designated Registry Office. The Registrar is then legally bound to notify the HO who can then extend the notification period from 28 to 70 days in order to interview you both before the wedding can take place.
In the circumstances, the HO are unlikely to release your passport unless you have made arrangements to leave the UK, with the passport given to you at the airport on the day of departure.
Even having possession of your passport, how will you enter Finland to marry there?
Your girlfriend could of course return with you to your home country and marry in the Caribbean but the chances of being granted a Family Permit are very slim

Suggest explore options in Finland.