Star Bride by Anthony Boucher. Yet another story from that most cited of all anthologies 100 Great Science Fiction Short Short Stories.
The quote you remember is:
“It was living with her that made me know,” he says. “Being with her, part of her, knowing that there was nothing grotesque, nothing monstrous about green and white flesh in the same bed.”
And it ends:
“ ‘Earth,’ ” he says, almost as though it was a love-word and not just a funny noise. “That’s their name for Vln. She called herself an earth woman, and she called me her martian.”
“I’ll go to Earth,” I say, only I never can pronounce it quite right and he always laughs a little, “and I’ll find your child and I’ll bring it back to you.”
Then he turns and smiles at me and after a while we leave the waters of the canal and go inside again away from her blue star and I can stand coming second even to a dead native white Starbride from the planet Earth.