What would you do?

I don't know. Rationally thinking I don't think it would make sense to be jealous of your partner's ex especially when you are in bed with them swapping body fluids. I say laugh it off and move on.

This also reminds me of the term "Bucking Bronco" which I heard mentioned on an episode of Dexter.
"Having sex doggie-style while grabbing her hips, leaning over and calling her by your ex-girlfriends name and trying to hold on while she tries to get away."