Don't know what fallacy this falls under?

Your friend is simply making an untestable/unfalsifiable assertion based on a religious worldview. This can be an Appeal to Faith .

Answering your second part as a social psychologist, I can tell you that those groups who are persecuted the most tend to be less happy and have more mental health problems than the average person in that culture/society. We see this phenomenon around the world where those who are part of the dominate belief system are the most happy within their respective cultures. This is due to the social stigma, or more specifically, the treatment of others. We are social animals and our well-being depends greatly on our relationships with other people. This is the reason for increased mental health problems within that group.