My opponent takes an action on a unit he has in play which targets one of my units to receive enough dmg to destroy it. I can respond to this with an action of my own which will happen first (other than the cost he may have paid for his action). If I choose to sacrifice my targeted unit (slave pen), can he just choose a different one of my units to target for this dmg instead?

Targets are fixed. You choose them when activating the effect, and you can't change them later. If the targets become illegal or disappear, the effect fizzles.