פירוש על עבודה זרה 35:10

The cruelty of the Romans is highlighted when they attempt to delay his death. And the bravery, dedication and martyrdom of R. Hanina is emphasized by the fact that he embraces his death. In my reading, the reason that he wishes to hold the Torah is to emphasize what he is being martyred for. If people do not know this, then his martyrdom has no value.