why was jimmy cross embarrassed by the violent ending of the movie bonnie and clyde?

Jimmy takes Martha out on a date to the movies. The fact that it becomes their one and only date gives you some idea as to how successful it was. The film they go to see is Bonnie and Clyde, a landmark in cinema that pushed the boundaries of how violence is presented on screen. Generally regarded as a cinematic milestone, it's not exactly the most obvious date movie, although it's still a kind of love story.
During the final scene of the movie, when Bonnie and Clyde are shot and killed in an ambush, Jimmy places his hand on Martha's knee. She turns and looks at him in a way that suggests that he really ought not to have done that. Not surprisingly, Jimmy is hugely embarrassed by Martha's rebuff. For the rest of his life he'll always remember the feel of her tweed skirt and the knee beneath it as the sound of gunfire in the movie dragged on, slow and oppressive.