Is it okay for me to write this type of Harry Potter fanfiction?

You're going to get a lot of backlash if you're trying to say Hogwarts and magic is evil (as I got from your "escape from Hogwarts" part). The author of the series has stated people of different faiths, including Christianity, attend the school. My point is, if your story is basically a hate fic against magic rather than something that makes sense like Harry just becoming a born-again Christian and how that affects his life, people are going to chew you out.

On the other hand, some Christian readers (who evidently like Harry Potter and magic if they're reading HP fanfiction) may chew you out for whatever this Harry being martyred for Christ business is, as they'll take offense for their religion.

You can write it, by all mean, but expect some backlash if those are the routes you're taking.

There is nothing wrong. The only things that are 'wrong' in FanFiction is going against Canon, having characters behave (without justification) in ways they would not. I would make a suggestion about your story, however. As all power comes from God and we know many (hopefully most) about the teachings of Jesus Christ, may I suggest that Harry use the powers given him by God (his Talents) to God's Will for His children. Rather than focusing the story on martyrdom, focus on what Harry will do to benefit the children of God just as Christ did in His time here and has done before and since. Make it a dedication of his life in the Christian mold.

Not my cup of tea. But, that kind of thing worked for C.S. Lewis, so I don't see why not. You might get a better reception if you made up your own magical world and stopped writing this as "fanfic." You are taking the character into a hugely different direction. People who have no interest in reading "Harry Potter, Martyr for Christ" may be interested in reading "The Great Wizard Chris Jobs who Died for Christ."

Well to be perfectly honest with you, you should try to avoid linking Harry Potter to any particular religious matters, since in the actual books, writer J.K Rowling hasn't made any religious contact with the story, therefore you should make something that could be believable to the reader's eyes. Personal opinion though, good luck.

Your "fanfic" will probably suck bilge-water, because apparently you have the idiotic misapprehension that the HP books are "satanic," but if you want to do this, go right ahead. If Rowling decides to sue you for violating her intellectual property rights, get a lawyer and see if you have any defense. You probably wouldn't. But I don't think she usually sues fanfic authors.