When Christian and Faithful enter the city of Vanity Fair, they cause a commotion because of their strange speech, dress, and their refusal to buy any of the Fair's sinful merchandise. Eventually, they end up imprisoned and on trial, and Faithful is found guilty of disrupting trade, stirring up division, and circulating offensive ideas in Vanity. The jury unanimously sentences Faithful to the cruelest possible fate, and the novel uses pathos to demonstrate the implacable opposition between the world (Vanity) and Christianity:
They therefore brought him out, to do with him according to their Law; and first they Scourged him, then they Buffeted him, then they Lanced his flesh with Knives; after that they Stoned him with stones, then pricked him with their Swords; and last of all they burned him to ashes at the Stake. Thus came Faithful to his end.
The visceral details of Faithful's death are over the top, and that's the point—one or two of these methods would have been sufficient to kill him. The fact that he gets all of them—beating, stabbing, stoning, and burning at the stake—is meant to convey that, even if Faithful were rightly condemned by the jury (which is clearly not the case), the punishment he gets is not a matter of justice but of hateful vengeance. Faithful's opposition to the values of Vanity (greed, violence, lust, and anything else considered sinful according to Christian teaching) is considered an affront to Vanity's people, and so Faithful becomes a scapegoat for their anger. The pathos here is not only meant to move readers' emotions, but to persuade them that they shouldn't expect to be accepted by the world at large any more than Faithful is accepted by Vanity. While they might not be literally martyred, they will be hated just as much (that is, if they uphold Christian values faithfully). The list of torments also evokes the stories of other faithful deaths, as Christ was scourged before his death, the first martyr Stephen was stoned, and some Christians in late antiquity, and even Protestants as recently as the post-Reformation period (within decades of Bunyan's writing), were burned at the stake.
Bunyan himself wrote Pilgrim's Progress while imprisoned for preaching unauthorized by the state church, and while he may not have feared for his life, his use of pathos has a palpable urgency, as if he wanted his readers to understand that if they expect to live at peace with "the world" while remaining faithfully religious, they should think again.
