Quite a few good suggestions/comments already posted above (ladyscribbler, Tentindependent, 53500, ShootingStar1):
1) Get your own P.O. box and re-route the important mail there.
2) Be on the look-out for anything else that could come in the mail that he might want to destroy.
3) I'm concerned about the concept of the spouse becoming a mirror for his own anger with himself. If burning mail addressed to you was actually an act of malice, I worry about your safety.
Is there someone in your area who knows about your situation? Could you devise a code word for them if ever you felt you needed back-up at your home, or a place where you could go to (even if it meant leaving the house without telling him first, just because you get another funny feeling that something isn't right?)
The word would have to be something that wouldn't make him suspicious. My brother told his daughter to call and refer to him as Batman if she wanted to get a ride home from a party gone wrong, etc. (Because sometimes everyone needs a hero).